| Ticker | days_above_q70 | days_above_q90 | days_above_q95 | days_above_q99 | ticker_appearances | prop_above_q70 | prop_above_q90 | prop_above_q95 | prop_above_q99 |
|---|---|---|---|---|---|---|---|---|---|
| AAPL | 755 | 562 | 468 | 263 | 1022 | 0.7387476 | 0.5499022 | 0.4579256 | 0.2573386 |
| AMZN | 781 | 620 | 517 | 280 | 1022 | 0.7641879 | 0.6066536 | 0.5058708 | 0.2739726 |
| AVGO | 665 | 485 | 354 | 203 | 1022 | 0.6506849 | 0.4745597 | 0.3463796 | 0.1986301 |
| CVX | 710 | 553 | 479 | 359 | 1022 | 0.6947162 | 0.5410959 | 0.4686888 | 0.3512720 |
| GOOG | 737 | 464 | 287 | 125 | 1022 | 0.7211350 | 0.4540117 | 0.2808219 | 0.1223092 |
| GOOGL | 744 | 417 | 284 | 128 | 1022 | 0.7279843 | 0.4080235 | 0.2778865 | 0.1252446 |
| HD | 855 | 719 | 654 | 489 | 1022 | 0.8365949 | 0.7035225 | 0.6399217 | 0.4784736 |
| JNJ | 948 | 816 | 706 | 383 | 1022 | 0.9275930 | 0.7984344 | 0.6908023 | 0.3747554 |
| JPM | 995 | 981 | 963 | 833 | 1022 | 0.9735812 | 0.9598826 | 0.9422701 | 0.8150685 |
| LLY | 985 | 898 | 833 | 712 | 1022 | 0.9637965 | 0.8786693 | 0.8150685 | 0.6966732 |
| MA | 939 | 813 | 758 | 626 | 1022 | 0.9187867 | 0.7954990 | 0.7416830 | 0.6125245 |
| META | 570 | 455 | 400 | 314 | 1022 | 0.5577299 | 0.4452055 | 0.3913894 | 0.3072407 |
| MSFT | 749 | 667 | 580 | 382 | 1022 | 0.7328767 | 0.6526419 | 0.5675147 | 0.3737769 |
| NVDA | 752 | 492 | 409 | 246 | 1022 | 0.7358121 | 0.4814090 | 0.4001957 | 0.2407045 |
| PG | 896 | 698 | 610 | 508 | 1022 | 0.8767123 | 0.6829746 | 0.5968689 | 0.4970646 |
| TSLA | 722 | 559 | 435 | 241 | 1022 | 0.7064579 | 0.5469667 | 0.4256360 | 0.2358121 |
| UNH | 806 | 715 | 643 | 544 | 1022 | 0.7886497 | 0.6996086 | 0.6291585 | 0.5322896 |
| V | 899 | 822 | 799 | 735 | 1022 | 0.8796477 | 0.8043053 | 0.7818004 | 0.7191781 |
| XOM | 882 | 672 | 494 | 227 | 1022 | 0.8630137 | 0.6575342 | 0.4833659 | 0.2221135 |
Crypto Rolling Efficiency
Time series Plots
Window : 360
Delta H computed over rolling 360 days
Confidence interval obtained from 10.000 GBM simulations series of returns of length equal to 360
- q70: 0.1276
- q90: 0.17481
- q95: 0.197805
- q99: 0.241003
V
### UNH
### MSFT
### GOOG
### GOOGL
### CVX
### LLY
### NVDA
### JNJ
### TSLA
### PG
### META
### HD
### AVGO
### JPM
### MA
### XOM
### AMZN
### AAPL
Window : 720
Delta H computed over rolling 720 days
Confidence interval obtained from 10.000 GBM simulations series of returns of length equal to 720
- q70: 0.0987
- q90: 0.1326
- q95: 0.1478
- q99: 0.176903
UNH
### AVGO
### LLY
### AMZN
### AAPL
### JNJ
### NVDA
### V
### META
### PG
### GOOG
### HD
### CVX
### XOM
### JPM
### MA
### TSLA
### MSFT
### GOOGL
Window : 1080
Delta H computed over rolling 1080 days
Confidence interval obtained from 10.000 GBM simulations series of returns of length equal to 1080
- q70: 0.0881
- q90: 0.11901
- q95: 0.1314
- q99: 0.154401
CVX
### V
### AVGO
### MSFT
### GOOG
### AAPL
### JNJ
### HD
### META
### JPM
### MA
### AMZN
### NVDA
### XOM
### GOOGL
### UNH
### TSLA
### LLY
### PG
Summary Tables
Window : 360
Window : 720
| Ticker | days_above_q70 | days_above_q90 | days_above_q95 | days_above_q99 | ticker_appearances | prop_above_q70 | prop_above_q90 | prop_above_q95 | prop_above_q99 |
|---|---|---|---|---|---|---|---|---|---|
| AAPL | 626 | 548 | 513 | 405 | 662 | 0.9456193 | 0.8277946 | 0.7749245 | 0.6117825 |
| AMZN | 481 | 473 | 468 | 464 | 662 | 0.7265861 | 0.7145015 | 0.7069486 | 0.7009063 |
| AVGO | 631 | 570 | 539 | 435 | 662 | 0.9531722 | 0.8610272 | 0.8141994 | 0.6570997 |
| CVX | 640 | 618 | 603 | 552 | 662 | 0.9667674 | 0.9335347 | 0.9108761 | 0.8338369 |
| GOOG | 490 | 267 | 185 | 137 | 662 | 0.7401813 | 0.4033233 | 0.2794562 | 0.2069486 |
| GOOGL | 479 | 249 | 179 | 132 | 662 | 0.7235650 | 0.3761329 | 0.2703927 | 0.1993958 |
| HD | 662 | 638 | 633 | 584 | 662 | 1.0000000 | 0.9637462 | 0.9561934 | 0.8821752 |
| JNJ | 662 | 627 | 577 | 569 | 662 | 1.0000000 | 0.9471299 | 0.8716012 | 0.8595166 |
| JPM | 634 | 615 | 594 | 488 | 662 | 0.9577039 | 0.9290030 | 0.8972810 | 0.7371601 |
| LLY | 662 | 628 | 582 | 477 | 662 | 1.0000000 | 0.9486405 | 0.8791541 | 0.7205438 |
| MA | 662 | 640 | 632 | 591 | 662 | 1.0000000 | 0.9667674 | 0.9546828 | 0.8927492 |
| META | 521 | 351 | 312 | 239 | 662 | 0.7870091 | 0.5302115 | 0.4712991 | 0.3610272 |
| MSFT | 662 | 662 | 662 | 644 | 662 | 1.0000000 | 1.0000000 | 1.0000000 | 0.9728097 |
| NVDA | 553 | 493 | 456 | 396 | 662 | 0.8353474 | 0.7447130 | 0.6888218 | 0.5981873 |
| PG | 637 | 602 | 590 | 581 | 662 | 0.9622356 | 0.9093656 | 0.8912387 | 0.8776435 |
| TSLA | 662 | 661 | 648 | 628 | 662 | 1.0000000 | 0.9984894 | 0.9788520 | 0.9486405 |
| UNH | 662 | 662 | 660 | 632 | 662 | 1.0000000 | 1.0000000 | 0.9969789 | 0.9546828 |
| V | 662 | 662 | 662 | 640 | 662 | 1.0000000 | 1.0000000 | 1.0000000 | 0.9667674 |
| XOM | 437 | 341 | 282 | 203 | 662 | 0.6601208 | 0.5151057 | 0.4259819 | 0.3066465 |
Window : 1080
| Ticker | days_above_q70 | days_above_q90 | days_above_q95 | days_above_q99 | ticker_appearances | prop_above_q70 | prop_above_q90 | prop_above_q95 | prop_above_q99 |
|---|---|---|---|---|---|---|---|---|---|
| AAPL | 302 | 302 | 293 | 206 | 302 | 1.0000000 | 1.0000000 | 0.9701987 | 0.6821192 |
| AMZN | 302 | 302 | 290 | 265 | 302 | 1.0000000 | 1.0000000 | 0.9602649 | 0.8774834 |
| AVGO | 302 | 302 | 302 | 302 | 302 | 1.0000000 | 1.0000000 | 1.0000000 | 1.0000000 |
| CVX | 302 | 302 | 302 | 302 | 302 | 1.0000000 | 1.0000000 | 1.0000000 | 1.0000000 |
| GOOG | 302 | 302 | 302 | 302 | 302 | 1.0000000 | 1.0000000 | 1.0000000 | 1.0000000 |
| GOOGL | 302 | 302 | 302 | 302 | 302 | 1.0000000 | 1.0000000 | 1.0000000 | 1.0000000 |
| HD | 302 | 302 | 302 | 302 | 302 | 1.0000000 | 1.0000000 | 1.0000000 | 1.0000000 |
| JNJ | 302 | 302 | 302 | 302 | 302 | 1.0000000 | 1.0000000 | 1.0000000 | 1.0000000 |
| JPM | 301 | 259 | 236 | 186 | 302 | 0.9966887 | 0.8576159 | 0.7814570 | 0.6158940 |
| LLY | 302 | 302 | 302 | 302 | 302 | 1.0000000 | 1.0000000 | 1.0000000 | 1.0000000 |
| MA | 302 | 302 | 302 | 302 | 302 | 1.0000000 | 1.0000000 | 1.0000000 | 1.0000000 |
| META | 302 | 302 | 302 | 301 | 302 | 1.0000000 | 1.0000000 | 1.0000000 | 0.9966887 |
| MSFT | 302 | 302 | 302 | 302 | 302 | 1.0000000 | 1.0000000 | 1.0000000 | 1.0000000 |
| NVDA | 302 | 293 | 275 | 247 | 302 | 1.0000000 | 0.9701987 | 0.9105960 | 0.8178808 |
| PG | 302 | 302 | 302 | 302 | 302 | 1.0000000 | 1.0000000 | 1.0000000 | 1.0000000 |
| TSLA | 302 | 302 | 302 | 302 | 302 | 1.0000000 | 1.0000000 | 1.0000000 | 1.0000000 |
| UNH | 302 | 302 | 302 | 302 | 302 | 1.0000000 | 1.0000000 | 1.0000000 | 1.0000000 |
| V | 302 | 302 | 302 | 302 | 302 | 1.0000000 | 1.0000000 | 1.0000000 | 1.0000000 |
| XOM | 267 | 253 | 243 | 182 | 302 | 0.8841060 | 0.8377483 | 0.8046358 | 0.6026490 |
Backtesting
Return KPIs for various strategies applied to different cryptocurrencies:
- Short-Inefficiency-Long-Efficiency: go short when the series becomes statistically inefficient (above a certain quantile - e.g. q90) and go long when it is below that level.
Short-Inefficiency: stay short only when the series becomes statistically inefficient and do nothing when it is below that level.
Short-Efficiency: stay short only when the series becomes statistically efficient and do nothing when it becomes inefficient.
Short-Efficiency-Long-Inefficiency: stay long only when the series becomes statistically efficient and do nothing when it becomes inefficient.
Note: Positions are taken one day after the efficiency level crosses the significance quantile.
360-day Window
Significance q70
- q70 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0875 0.3838 0.2279 0.4050939 CVX Short-Inefficiency-Long-Efficiency q70 360 0.0594 0.3286 0.1808 0.2636992 GOOGL Short-Inefficiency-Long-Efficiency q70 360 -0.0289 0.3674 -0.0785 -0.1119900 XOM Short-Inefficiency-Long-Efficiency q70 360 -0.0342 0.3648 -0.0937 -0.1315891 AMZN Short-Inefficiency-Long-Efficiency q70 360 -0.0403 0.3015 -0.1338 -0.1537611 V Short-Inefficiency-Long-Efficiency q70 360 -0.0486 0.2062 -0.2357 -0.1829212 JNJ Short-Inefficiency-Long-Efficiency q70 360 -0.0767 0.3284 -0.2336 -0.2765479 GOOG Short-Inefficiency-Long-Efficiency q70 360 -0.0857 0.3090 -0.2775 -0.3047634 HD Short-Inefficiency-Long-Efficiency q70 360 -0.0967 0.3093 -0.3126 -0.3379347 UNH Short-Inefficiency-Long-Efficiency q70 360 -0.1014 0.3388 -0.2994 -0.3518734 MA Short-Inefficiency-Long-Efficiency q70 360 -0.1339 0.3220 -0.4159 -0.4418891 MSFT Short-Inefficiency-Long-Efficiency q70 360 -0.1412 0.3372 -0.4189 -0.4607375 AAPL Short-Inefficiency-Long-Efficiency q70 360 -0.1418 0.2229 -0.6363 -0.4622111 PG Short-Inefficiency-Long-Efficiency q70 360 -0.1503 0.3437 -0.4374 -0.4834669 JPM Short-Inefficiency-Long-Efficiency q70 360 -0.1877 0.3810 -0.4927 -0.5696733 AVGO Short-Inefficiency-Long-Efficiency q70 360 -0.2455 0.5371 -0.4570 -0.6809454 NVDA Short-Inefficiency-Long-Efficiency q70 360 -0.3215 0.3134 -1.0260 -0.7926390 LLY Short-Inefficiency-Long-Efficiency q70 360 -0.3574 0.4681 -0.7635 -0.8336447 META Short-Inefficiency-Long-Efficiency q70 360 -0.3891 0.6792 -0.5729 -0.8644819 TSLA Short-Inefficiency-Long-Efficiency q70 360 - q70 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.0356 0.3526 -0.1010 -0.1367139 CVX Short-Inefficiency q70 360 -0.0667 0.2036 -0.3276 -0.2442383 JNJ Short-Inefficiency q70 360 -0.0768 0.3249 -0.2365 -0.2769025 AMZN Short-Inefficiency q70 360 -0.0783 0.2858 -0.2741 -0.2816319 V Short-Inefficiency q70 360 -0.0822 0.2927 -0.2810 -0.2939550 GOOGL Short-Inefficiency q70 360 -0.1020 0.3346 -0.3050 -0.3536962 XOM Short-Inefficiency q70 360 -0.1187 0.3234 -0.3671 -0.4010380 MA Short-Inefficiency q70 360 -0.1204 0.2866 -0.4200 -0.4055402 HD Short-Inefficiency q70 360 -0.1292 0.2143 -0.6029 -0.4294519 PG Short-Inefficiency q70 360 -0.1422 0.2840 -0.5006 -0.4631457 GOOG Short-Inefficiency q70 360 -0.1451 0.2860 -0.5072 -0.4704253 UNH Short-Inefficiency q70 360 -0.1469 0.3411 -0.4306 -0.4749530 JPM Short-Inefficiency q70 360 -0.1865 0.2831 -0.6587 -0.5669605 MSFT Short-Inefficiency q70 360 -0.2327 0.2926 -0.7953 -0.6584979 AAPL Short-Inefficiency q70 360 -0.2422 0.3188 -0.7599 -0.6753031 AVGO Short-Inefficiency q70 360 -0.2461 0.3403 -0.7231 -0.6819536 META Short-Inefficiency q70 360 -0.3262 0.3104 -1.0507 -0.7983465 LLY Short-Inefficiency q70 360 -0.3735 0.4458 -0.8379 -0.8499343 NVDA Short-Inefficiency q70 360 -0.4883 0.5932 -0.8231 -0.9339205 TSLA Short-Inefficiency q70 360 - q70 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.3353 0.3134 1.0698 2.2302244 LLY Short-Efficiency-Long-Inefficiency q70 360 0.2464 0.4681 0.5263 1.4430997 META Short-Efficiency-Long-Inefficiency q70 360 0.1087 0.2229 0.4876 0.5195959 PG Short-Efficiency-Long-Inefficiency q70 360 0.0642 0.3810 0.1684 0.2868321 AVGO Short-Efficiency-Long-Inefficiency q70 360 0.0455 0.3437 0.1323 0.1975645 JPM Short-Efficiency-Long-Inefficiency q70 360 0.0408 0.3220 0.1266 0.1758972 MSFT Short-Efficiency-Long-Inefficiency q70 360 0.0392 0.3372 0.1163 0.1688760 AAPL Short-Efficiency-Long-Inefficiency q70 360 0.0294 0.6792 0.0433 0.1246285 TSLA Short-Efficiency-Long-Inefficiency q70 360 0.0073 0.2062 0.0356 0.0300905 JNJ Short-Efficiency-Long-Inefficiency q70 360 0.0058 0.3093 0.0188 0.0237761 UNH Short-Efficiency-Long-Inefficiency q70 360 -0.0062 0.3090 -0.0200 -0.0248233 HD Short-Efficiency-Long-Inefficiency q70 360 -0.0077 0.5371 -0.0144 -0.0309593 NVDA Short-Efficiency-Long-Inefficiency q70 360 -0.0080 0.3388 -0.0235 -0.0319154 MA Short-Efficiency-Long-Inefficiency q70 360 -0.0277 0.3284 -0.0844 -0.1077221 GOOG Short-Efficiency-Long-Inefficiency q70 360 -0.0486 0.3015 -0.1612 -0.1829904 V Short-Efficiency-Long-Inefficiency q70 360 -0.0938 0.3648 -0.2570 -0.3292102 AMZN Short-Efficiency-Long-Inefficiency q70 360 -0.1004 0.3674 -0.2734 -0.3490465 XOM Short-Efficiency-Long-Inefficiency q70 360 -0.1528 0.3286 -0.4649 -0.4895553 GOOGL Short-Efficiency-Long-Inefficiency q70 360 -0.2073 0.3838 -0.5400 -0.6101114 CVX Short-Efficiency-Long-Inefficiency q70 360 - q70 : Short-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0569 0.3218 0.1767 0.2513877 META Short-Efficiency q70 360 0.0109 0.0613 0.1777 0.0448979 PG Short-Efficiency q70 360 0.0023 0.0418 0.0548 0.0093130 JPM Short-Efficiency q70 360 -0.0087 0.0426 -0.2034 -0.0346386 LLY Short-Efficiency q70 360 -0.0201 0.0320 -0.6272 -0.0788745 JNJ Short-Efficiency q70 360 -0.0292 0.1008 -0.2896 -0.1132069 MA Short-Efficiency q70 360 -0.0484 0.0960 -0.5042 -0.1822705 V Short-Efficiency q70 360 -0.0506 0.1154 -0.4386 -0.1899826 HD Short-Efficiency q70 360 -0.0665 0.1173 -0.5670 -0.2435828 UNH Short-Efficiency q70 360 -0.0701 0.1659 -0.4226 -0.2553293 AMZN Short-Efficiency q70 360 -0.0824 0.1532 -0.5383 -0.2945769 MSFT Short-Efficiency q70 360 -0.0958 0.1647 -0.5818 -0.3353277 GOOG Short-Efficiency q70 360 -0.0965 0.1518 -0.6355 -0.3372627 XOM Short-Efficiency q70 360 -0.1067 0.2083 -0.5125 -0.3672843 AVGO Short-Efficiency q70 360 -0.1311 0.1668 -0.7860 -0.4344537 AAPL Short-Efficiency q70 360 -0.1334 0.1517 -0.8793 -0.4405007 CVX Short-Efficiency q70 360 -0.1529 0.1493 -1.0242 -0.4897593 GOOGL Short-Efficiency q70 360 -0.2409 0.2985 -0.8072 -0.6730564 NVDA Short-Efficiency q70 360 -0.2488 0.3295 -0.7550 -0.6865691 TSLA Short-Efficiency q70 360 Significance q90
- q70 : Short-Efficiency
- q70 : Short-Efficiency-Long-Inefficiency
- q70 : Short-Inefficiency
- q90 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.1803 0.3672 0.4911 0.9588183 XOM Short-Inefficiency-Long-Efficiency q90 360 0.0695 0.3089 0.2249 0.3130477 HD Short-Inefficiency-Long-Efficiency q90 360 0.0436 0.3284 0.1329 0.1891763 GOOG Short-Inefficiency-Long-Efficiency q90 360 0.0353 0.3839 0.0920 0.1511348 CVX Short-Inefficiency-Long-Efficiency q90 360 -0.0128 0.3287 -0.0391 -0.0510798 GOOGL Short-Inefficiency-Long-Efficiency q90 360 -0.0352 0.3811 -0.0924 -0.1352579 AVGO Short-Inefficiency-Long-Efficiency q90 360 -0.0431 0.5372 -0.0802 -0.1635555 NVDA Short-Inefficiency-Long-Efficiency q90 360 -0.0764 0.3221 -0.2372 -0.2755203 MSFT Short-Inefficiency-Long-Efficiency q90 360 -0.0777 0.2061 -0.3771 -0.2797647 JNJ Short-Inefficiency-Long-Efficiency q90 360 -0.0818 0.3015 -0.2712 -0.2924283 V Short-Inefficiency-Long-Efficiency q90 360 -0.0820 0.3388 -0.2421 -0.2932118 MA Short-Inefficiency-Long-Efficiency q90 360 -0.1056 0.3372 -0.3132 -0.3640752 AAPL Short-Inefficiency-Long-Efficiency q90 360 -0.1261 0.3437 -0.3670 -0.4211944 JPM Short-Inefficiency-Long-Efficiency q90 360 -0.1287 0.6794 -0.1894 -0.4279760 TSLA Short-Inefficiency-Long-Efficiency q90 360 -0.1326 0.3092 -0.4289 -0.4384115 UNH Short-Inefficiency-Long-Efficiency q90 360 -0.1463 0.3648 -0.4010 -0.4734393 AMZN Short-Inefficiency-Long-Efficiency q90 360 -0.1562 0.2229 -0.7011 -0.4979347 PG Short-Inefficiency-Long-Efficiency q90 360 -0.2464 0.3138 -0.7854 -0.6825682 LLY Short-Inefficiency-Long-Efficiency q90 360 -0.4135 0.4679 -0.8838 -0.8851150 META Short-Inefficiency-Long-Efficiency q90 360 - q90 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0018 0.2971 0.0059 0.0071223 XOM Short-Inefficiency q90 360 -0.0454 0.2746 -0.1654 -0.1718331 HD Short-Inefficiency q90 360 -0.0524 0.3322 -0.1578 -0.1961708 CVX Short-Inefficiency q90 360 -0.0715 0.2121 -0.3373 -0.2599306 GOOG Short-Inefficiency q90 360 -0.0793 0.1939 -0.4092 -0.2848387 JNJ Short-Inefficiency q90 360 -0.0936 0.2002 -0.4678 -0.3288612 GOOGL Short-Inefficiency q90 360 -0.0970 0.2802 -0.3463 -0.3389007 V Short-Inefficiency q90 360 -0.1051 0.3088 -0.3405 -0.3626658 MA Short-Inefficiency q90 360 -0.1201 0.2797 -0.4294 -0.4048054 AMZN Short-Inefficiency q90 360 -0.1303 0.1773 -0.7349 -0.4322530 PG Short-Inefficiency q90 360 -0.1347 0.3408 -0.3953 -0.4439173 JPM Short-Inefficiency q90 360 -0.1575 0.2728 -0.5771 -0.5008444 MSFT Short-Inefficiency q90 360 -0.1602 0.2771 -0.5779 -0.5072862 UNH Short-Inefficiency q90 360 -0.1663 0.2880 -0.5776 -0.5218166 AVGO Short-Inefficiency q90 360 -0.2071 0.2463 -0.8409 -0.6098592 AAPL Short-Inefficiency q90 360 -0.2638 0.3380 -0.7804 -0.7112136 NVDA Short-Inefficiency q90 360 -0.2653 0.2781 -0.9542 -0.7136293 META Short-Inefficiency q90 360 -0.2869 0.2967 -0.9667 -0.7461889 LLY Short-Inefficiency q90 360 -0.3690 0.5374 -0.6866 -0.8454555 TSLA Short-Inefficiency q90 360 - q90 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.3655 0.4679 0.7813 2.5376463 META Short-Efficiency-Long-Inefficiency q90 360 0.2022 0.3138 0.6443 1.1101301 LLY Short-Efficiency-Long-Inefficiency q90 360 0.1276 0.2229 0.5727 0.6277202 PG Short-Efficiency-Long-Inefficiency q90 360 0.0475 0.3092 0.1535 0.2069453 UNH Short-Efficiency-Long-Inefficiency q90 360 0.0392 0.2061 0.1900 0.1685974 JNJ Short-Efficiency-Long-Inefficiency q90 360 0.0252 0.3648 0.0691 0.1062755 AMZN Short-Efficiency-Long-Inefficiency q90 360 0.0165 0.3437 0.0481 0.0687209 JPM Short-Efficiency-Long-Inefficiency q90 360 -0.0022 0.3372 -0.0065 -0.0087964 AAPL Short-Efficiency-Long-Inefficiency q90 360 -0.0057 0.3015 -0.0189 -0.0228759 V Short-Efficiency-Long-Inefficiency q90 360 -0.0241 0.3221 -0.0748 -0.0941346 MSFT Short-Efficiency-Long-Inefficiency q90 360 -0.0289 0.3388 -0.0854 -0.1122638 MA Short-Efficiency-Long-Inefficiency q90 360 -0.0908 0.3287 -0.2762 -0.3202288 GOOGL Short-Efficiency-Long-Inefficiency q90 360 -0.1041 0.3811 -0.2731 -0.3596262 AVGO Short-Efficiency-Long-Inefficiency q90 360 -0.1398 0.3284 -0.4259 -0.4571702 GOOG Short-Efficiency-Long-Inefficiency q90 360 -0.1504 0.3089 -0.4869 -0.4836604 HD Short-Efficiency-Long-Inefficiency q90 360 -0.1673 0.3839 -0.4358 -0.5240956 CVX Short-Efficiency-Long-Inefficiency q90 360 -0.2176 0.5372 -0.4051 -0.6303678 NVDA Short-Efficiency-Long-Inefficiency q90 360 -0.2599 0.3672 -0.7078 -0.7048970 XOM Short-Efficiency-Long-Inefficiency q90 360 -0.2783 0.6794 -0.4096 -0.7335645 TSLA Short-Efficiency-Long-Inefficiency q90 360 - q90 : Short-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0845 0.3767 0.2245 0.3898047 META Short-Efficiency q90 360 0.0121 0.1352 0.0896 0.0500532 PG Short-Efficiency q90 360 -0.0066 0.0700 -0.0946 -0.0265812 JNJ Short-Efficiency q90 360 -0.0118 0.0447 -0.2639 -0.0470180 JPM Short-Efficiency q90 360 -0.0244 0.2343 -0.1041 -0.0953051 AMZN Short-Efficiency q90 360 -0.0287 0.1113 -0.2580 -0.1114334 V Short-Efficiency q90 360 -0.0439 0.1394 -0.3153 -0.1665983 MA Short-Efficiency q90 360 -0.0498 0.1370 -0.3631 -0.1869938 UNH Short-Efficiency q90 360 -0.0633 0.1012 -0.6255 -0.2330181 LLY Short-Efficiency q90 360 -0.1140 0.1708 -0.6676 -0.3880144 MSFT Short-Efficiency q90 360 -0.1180 0.1924 -0.6135 -0.3991162 CVX Short-Efficiency q90 360 -0.1252 0.1414 -0.8850 -0.4185679 HD Short-Efficiency q90 360 -0.1422 0.2606 -0.5458 -0.4632215 GOOGL Short-Efficiency q90 360 -0.1592 0.2298 -0.6927 -0.5049602 AAPL Short-Efficiency q90 360 -0.1646 0.2506 -0.6570 -0.5178396 GOOG Short-Efficiency q90 360 -0.1880 0.2492 -0.7546 -0.5703723 AVGO Short-Efficiency q90 360 -0.1901 0.2159 -0.8803 -0.5746995 XOM Short-Efficiency q90 360 -0.3541 0.4166 -0.8498 -0.8301062 NVDA Short-Efficiency q90 360 -0.3908 0.4144 -0.9430 -0.8659846 TSLA Short-Efficiency q90 360 Significance q95
- q90 : Short-Efficiency
- q90 : Short-Efficiency-Long-Inefficiency
- q90 : Short-Inefficiency
- q95 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.3609 0.3277 1.1016 2.4897818 GOOG Short-Inefficiency-Long-Efficiency q95 360 0.3459 0.3280 1.0545 2.3355183 GOOGL Short-Inefficiency-Long-Efficiency q95 360 0.1582 0.3370 0.4696 0.8143885 AAPL Short-Inefficiency-Long-Efficiency q95 360 0.1552 0.5369 0.2891 0.7952793 NVDA Short-Inefficiency-Long-Efficiency q95 360 0.1019 0.3386 0.3010 0.4823448 MA Short-Inefficiency-Long-Efficiency q95 360 0.0923 0.3838 0.2405 0.4305388 CVX Short-Inefficiency-Long-Efficiency q95 360 0.0311 0.3090 0.1007 0.1322796 HD Short-Inefficiency-Long-Efficiency q95 360 0.0173 0.3674 0.0470 0.0719115 XOM Short-Inefficiency-Long-Efficiency q95 360 0.0001 0.3811 0.0003 0.0004266 AVGO Short-Inefficiency-Long-Efficiency q95 360 -0.0176 0.3221 -0.0548 -0.0696518 MSFT Short-Inefficiency-Long-Efficiency q95 360 -0.0287 0.2062 -0.1391 -0.1113419 JNJ Short-Inefficiency-Long-Efficiency q95 360 -0.0630 0.3015 -0.2089 -0.2318512 V Short-Inefficiency-Long-Efficiency q95 360 -0.1022 0.6794 -0.1505 -0.3542663 TSLA Short-Inefficiency-Long-Efficiency q95 360 -0.1319 0.2229 -0.5915 -0.4364484 PG Short-Inefficiency-Long-Efficiency q95 360 -0.1585 0.3437 -0.4613 -0.5034263 JPM Short-Inefficiency-Long-Efficiency q95 360 -0.1710 0.3648 -0.4688 -0.5326212 AMZN Short-Inefficiency-Long-Efficiency q95 360 -0.1822 0.3091 -0.5895 -0.5577322 UNH Short-Inefficiency-Long-Efficiency q95 360 -0.2876 0.3136 -0.9171 -0.7472102 LLY Short-Inefficiency-Long-Efficiency q95 360 -0.4546 0.4676 -0.9723 -0.9144710 META Short-Inefficiency-Long-Efficiency q95 360 - q95 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0702 0.1624 0.4318 0.3164867 GOOG Short-Inefficiency q95 360 0.0637 0.1726 0.3692 0.2847611 GOOGL Short-Inefficiency q95 360 -0.0148 0.2928 -0.0506 -0.0587130 MA Short-Inefficiency q95 360 -0.0249 0.3265 -0.0762 -0.0971215 CVX Short-Inefficiency q95 360 -0.0541 0.1880 -0.2878 -0.2020029 JNJ Short-Inefficiency q95 360 -0.0603 0.2650 -0.2274 -0.2228274 HD Short-Inefficiency q95 360 -0.0607 0.2614 -0.2322 -0.2242503 XOM Short-Inefficiency q95 360 -0.0872 0.2778 -0.3139 -0.3093587 V Short-Inefficiency q95 360 -0.0886 0.2020 -0.4388 -0.3135980 AAPL Short-Inefficiency q95 360 -0.1166 0.1694 -0.6882 -0.3951539 PG Short-Inefficiency q95 360 -0.1282 0.2596 -0.4940 -0.4268049 AMZN Short-Inefficiency q95 360 -0.1287 0.2628 -0.4898 -0.4281339 MSFT Short-Inefficiency q95 360 -0.1435 0.2549 -0.5631 -0.4665589 AVGO Short-Inefficiency q95 360 -0.1506 0.3398 -0.4433 -0.4842306 JPM Short-Inefficiency q95 360 -0.1811 0.2995 -0.6045 -0.5551733 NVDA Short-Inefficiency q95 360 -0.1828 0.2691 -0.6791 -0.5588960 UNH Short-Inefficiency q95 360 -0.2841 0.2374 -1.1969 -0.7421671 META Short-Inefficiency q95 360 -0.3053 0.2903 -1.0517 -0.7717911 LLY Short-Inefficiency q95 360 -0.3454 0.4954 -0.6971 -0.8206096 TSLA Short-Inefficiency q95 360 - q95 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.4686 0.4676 1.0021 3.7518676 META Short-Efficiency-Long-Inefficiency q95 360 0.2716 0.3136 0.8661 1.6497210 LLY Short-Efficiency-Long-Inefficiency q95 360 0.1110 0.3091 0.3591 0.5325706 UNH Short-Efficiency-Long-Inefficiency q95 360 0.0960 0.2229 0.4305 0.4501277 PG Short-Efficiency-Long-Inefficiency q95 360 0.0558 0.3648 0.1530 0.2463579 AMZN Short-Efficiency-Long-Inefficiency q95 360 0.0557 0.3437 0.1620 0.2456997 JPM Short-Efficiency-Long-Inefficiency q95 360 -0.0133 0.2062 -0.0645 -0.0528809 JNJ Short-Efficiency-Long-Inefficiency q95 360 -0.0256 0.3015 -0.0850 -0.0999331 V Short-Efficiency-Long-Inefficiency q95 360 -0.0824 0.3221 -0.2560 -0.2945856 MSFT Short-Efficiency-Long-Inefficiency q95 360 -0.1188 0.3090 -0.3845 -0.4012270 HD Short-Efficiency-Long-Inefficiency q95 360 -0.1357 0.3811 -0.3561 -0.4464779 AVGO Short-Efficiency-Long-Inefficiency q95 360 -0.1412 0.3674 -0.3844 -0.4607267 XOM Short-Efficiency-Long-Inefficiency q95 360 -0.1910 0.3386 -0.5641 -0.5767237 MA Short-Efficiency-Long-Inefficiency q95 360 -0.2108 0.3838 -0.5491 -0.6170463 CVX Short-Efficiency-Long-Inefficiency q95 360 -0.2295 0.3370 -0.6810 -0.6525932 AAPL Short-Efficiency-Long-Inefficiency q95 360 -0.2995 0.6794 -0.4409 -0.7639778 TSLA Short-Efficiency-Long-Inefficiency q95 360 -0.3331 0.3280 -1.0157 -0.8066122 GOOGL Short-Efficiency-Long-Inefficiency q95 360 -0.3404 0.3277 -1.0389 -0.8150256 GOOG Short-Efficiency-Long-Inefficiency q95 360 -0.3519 0.5369 -0.6555 -0.8277834 NVDA Short-Efficiency-Long-Inefficiency q95 360 - q95 : Short-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.1130 0.4034 0.2801 0.5436327 META Short-Efficiency q95 360 0.0067 0.0517 0.1297 0.0274684 JPM Short-Efficiency q95 360 -0.0036 0.1449 -0.0246 -0.0143533 PG Short-Efficiency q95 360 -0.0153 0.2563 -0.0597 -0.0605826 AMZN Short-Efficiency q95 360 -0.0235 0.1520 -0.1544 -0.0918709 UNH Short-Efficiency q95 360 -0.0331 0.0845 -0.3919 -0.1276267 JNJ Short-Efficiency q95 360 -0.0384 0.1182 -0.3252 -0.1469724 LLY Short-Efficiency q95 360 -0.0391 0.1170 -0.3345 -0.1494415 V Short-Efficiency q95 360 -0.1113 0.1587 -0.7014 -0.3804172 HD Short-Efficiency q95 360 -0.1316 0.1702 -0.7730 -0.4357136 MA Short-Efficiency q95 360 -0.1362 0.2582 -0.5277 -0.4478508 XOM Short-Efficiency q95 360 -0.1429 0.2018 -0.7085 -0.4650354 CVX Short-Efficiency q95 360 -0.1433 0.1859 -0.7707 -0.4658259 MSFT Short-Efficiency q95 360 -0.2097 0.2829 -0.7410 -0.6148762 AVGO Short-Efficiency q95 360 -0.2685 0.2694 -0.9965 -0.7186266 AAPL Short-Efficiency q95 360 -0.2691 0.2792 -0.9641 -0.7195955 GOOGL Short-Efficiency q95 360 -0.2752 0.2849 -0.9662 -0.7289511 GOOG Short-Efficiency q95 360 -0.4128 0.4638 -0.8900 -0.8845460 TSLA Short-Efficiency q95 360 -0.4193 0.4450 -0.9424 -0.8897031 NVDA Short-Efficiency q95 360 Significance q99
- q95 : Short-Efficiency
- q95 : Short-Efficiency-Long-Inefficiency
- q95 : Short-Inefficiency
- q99 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.4253 0.5363 0.7930 3.2088777 NVDA Short-Inefficiency-Long-Efficiency q99 360 0.3481 0.3280 1.0613 2.3579318 GOOGL Short-Inefficiency-Long-Efficiency q99 360 0.2825 0.3669 0.7701 1.7434446 XOM Short-Inefficiency-Long-Efficiency q99 360 0.1752 0.3218 0.5444 0.9245330 MSFT Short-Inefficiency-Long-Efficiency q99 360 0.1728 0.3282 0.5265 0.9084955 GOOG Short-Inefficiency-Long-Efficiency q99 360 0.1604 0.3837 0.4181 0.8284426 CVX Short-Inefficiency-Long-Efficiency q99 360 0.1281 0.3370 0.3801 0.6303830 AAPL Short-Inefficiency-Long-Efficiency q99 360 0.0722 0.3387 0.2133 0.3269571 MA Short-Inefficiency-Long-Efficiency q99 360 0.0616 0.6792 0.0907 0.2742842 TSLA Short-Inefficiency-Long-Efficiency q99 360 0.0531 0.3089 0.1717 0.2332619 HD Short-Inefficiency-Long-Efficiency q99 360 -0.0593 0.3015 -0.1966 -0.2195350 V Short-Inefficiency-Long-Efficiency q99 360 -0.0597 0.2062 -0.2895 -0.2208600 JNJ Short-Inefficiency-Long-Efficiency q99 360 -0.0798 0.3437 -0.2321 -0.2862168 JPM Short-Inefficiency-Long-Efficiency q99 360 -0.1008 0.2230 -0.4521 -0.3501300 PG Short-Inefficiency-Long-Efficiency q99 360 -0.1033 0.3648 -0.2830 -0.3572683 AMZN Short-Inefficiency-Long-Efficiency q99 360 -0.1312 0.3092 -0.4242 -0.4345891 UNH Short-Inefficiency-Long-Efficiency q99 360 -0.1586 0.3810 -0.4161 -0.5034705 AVGO Short-Inefficiency-Long-Efficiency q99 360 -0.2103 0.3139 -0.6699 -0.6161069 LLY Short-Inefficiency-Long-Efficiency q99 360 -0.2878 0.4684 -0.6144 -0.7474906 META Short-Inefficiency-Long-Efficiency q99 360 - q99 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0742 0.1093 0.6782 0.3365829 GOOGL Short-Inefficiency q99 360 0.0651 0.2204 0.2956 0.2917061 XOM Short-Inefficiency q99 360 0.0126 0.3029 0.0415 0.0519747 CVX Short-Inefficiency q99 360 0.0008 0.1077 0.0074 0.0032295 GOOG Short-Inefficiency q99 360 -0.0214 0.2682 -0.0799 -0.0840852 MA Short-Inefficiency q99 360 -0.0395 0.2310 -0.1710 -0.1508030 MSFT Short-Inefficiency q99 360 -0.0467 0.2503 -0.1866 -0.1763383 HD Short-Inefficiency q99 360 -0.0607 0.1301 -0.4668 -0.2243135 JNJ Short-Inefficiency q99 360 -0.0705 0.2159 -0.3264 -0.2565400 NVDA Short-Inefficiency q99 360 -0.0822 0.2072 -0.3964 -0.2936544 AMZN Short-Inefficiency q99 360 -0.0843 0.2733 -0.3084 -0.3002894 V Short-Inefficiency q99 360 -0.0914 0.1436 -0.6367 -0.3221971 AAPL Short-Inefficiency q99 360 -0.0972 0.1429 -0.6803 -0.3394180 PG Short-Inefficiency q99 360 -0.1061 0.3205 -0.3310 -0.3653806 JPM Short-Inefficiency q99 360 -0.1558 0.2610 -0.5969 -0.4968566 UNH Short-Inefficiency q99 360 -0.1770 0.2116 -0.8368 -0.5462203 META Short-Inefficiency q99 360 -0.1994 0.1654 -1.2053 -0.5941247 AVGO Short-Inefficiency q99 360 -0.2529 0.3867 -0.6540 -0.6934791 TSLA Short-Inefficiency q99 360 -0.2635 0.2654 -0.9926 -0.7107004 LLY Short-Inefficiency q99 360 - q99 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.1471 0.3139 0.4687 0.7448149 LLY Short-Efficiency-Long-Inefficiency q99 360 0.1245 0.4684 0.2658 0.6095342 META Short-Efficiency-Long-Inefficiency q99 360 0.0581 0.2230 0.2607 0.2575158 PG Short-Efficiency-Long-Inefficiency q99 360 0.0457 0.3092 0.1479 0.1987859 UNH Short-Efficiency-Long-Inefficiency q99 360 0.0273 0.3810 0.0715 0.1152575 AVGO Short-Efficiency-Long-Inefficiency q99 360 0.0192 0.2062 0.0932 0.0802489 JNJ Short-Efficiency-Long-Inefficiency q99 360 -0.0240 0.3648 -0.0657 -0.0936790 AMZN Short-Efficiency-Long-Inefficiency q99 360 -0.0294 0.3015 -0.0977 -0.1141367 V Short-Efficiency-Long-Inefficiency q99 360 -0.0347 0.3437 -0.1009 -0.1333759 JPM Short-Efficiency-Long-Inefficiency q99 360 -0.1372 0.3089 -0.4440 -0.4502558 HD Short-Efficiency-Long-Inefficiency q99 360 -0.1686 0.3387 -0.4979 -0.5271577 MA Short-Efficiency-Long-Inefficiency q99 360 -0.2089 0.3370 -0.6198 -0.6133847 AAPL Short-Efficiency-Long-Inefficiency q99 360 -0.2330 0.3218 -0.7241 -0.6589921 MSFT Short-Efficiency-Long-Inefficiency q99 360 -0.2345 0.3282 -0.7147 -0.6617648 GOOG Short-Efficiency-Long-Inefficiency q99 360 -0.2571 0.3837 -0.6701 -0.7003843 CVX Short-Efficiency-Long-Inefficiency q99 360 -0.3189 0.3669 -0.8691 -0.7892966 XOM Short-Efficiency-Long-Inefficiency q99 360 -0.3342 0.3280 -1.0190 -0.8079030 GOOGL Short-Efficiency-Long-Inefficiency q99 360 -0.4076 0.6792 -0.6002 -0.8803976 TSLA Short-Efficiency-Long-Inefficiency q99 360 -0.4747 0.5363 -0.8852 -0.9265417 NVDA Short-Efficiency-Long-Inefficiency q99 360 - q99 : Short-Efficiency
[1] “”Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.0250 0.1712 -0.1459 -0.0975161 PG Short-Efficiency q99 360 -0.0263 0.1599 -0.1646 -0.1025351 JNJ Short-Efficiency q99 360 -0.0318 0.4180 -0.0761 -0.1229239 META Short-Efficiency q99 360 -0.0422 0.1273 -0.3317 -0.1604661 V Short-Efficiency q99 360 -0.0435 0.1242 -0.3499 -0.1649534 JPM Short-Efficiency q99 360 -0.0547 0.1657 -0.3300 -0.2038466 UNH Short-Efficiency q99 360 -0.0647 0.3003 -0.2156 -0.2376685 AMZN Short-Efficiency q99 360 -0.0931 0.1670 -0.5573 -0.3271041 LLY Short-Efficiency q99 360 -0.1240 0.1811 -0.6848 -0.4153877 HD Short-Efficiency q99 360 -0.1257 0.2069 -0.6077 -0.4200821 MA Short-Efficiency q99 360 -0.1546 0.3430 -0.4506 -0.4938325 AVGO Short-Efficiency q99 360 -0.1746 0.2356 -0.7412 -0.5408559 CVX Short-Efficiency q99 360 -0.2228 0.2240 -0.9948 -0.6402766 MSFT Short-Efficiency q99 360 -0.2250 0.3100 -0.7258 -0.6443165 GOOG Short-Efficiency q99 360 -0.2383 0.2936 -0.8115 -0.6684001 XOM Short-Efficiency q99 360 -0.2662 0.3046 -0.8741 -0.7150569 AAPL Short-Efficiency q99 360 -0.2762 0.3095 -0.8926 -0.7304673 GOOGL Short-Efficiency q99 360 -0.4854 0.5575 -0.8707 -0.9324309 TSLA Short-Efficiency q99 360 -0.4884 0.4907 -0.9954 -0.9340072 NVDA Short-Efficiency q99 360
- q99 : Short-Efficiency
- q99 : Short-Efficiency-Long-Inefficiency
- q99 : Short-Inefficiency
720 window
Significance q70
- q70 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0111 0.3797 0.0292 0.0293650 AMZN Short-Inefficiency-Long-Efficiency q70 720 -0.0515 0.1772 -0.2906 -0.1297030 PG Short-Inefficiency-Long-Efficiency q70 720 -0.0705 0.1592 -0.4431 -0.1748243 JNJ Short-Inefficiency-Long-Efficiency q70 720 -0.0719 0.2557 -0.2813 -0.1780728 V Short-Inefficiency-Long-Efficiency q70 720 -0.0876 0.2558 -0.3427 -0.2141168 HD Short-Inefficiency-Long-Efficiency q70 720 -0.0944 0.2577 -0.3663 -0.2292798 JPM Short-Inefficiency-Long-Efficiency q70 720 -0.1061 0.2831 -0.3748 -0.2552113 MA Short-Inefficiency-Long-Efficiency q70 720 -0.1330 0.2911 -0.4570 -0.3127536 AAPL Short-Inefficiency-Long-Efficiency q70 720 -0.1374 0.2190 -0.6275 -0.3218632 UNH Short-Inefficiency-Long-Efficiency q70 720 -0.1654 0.3184 -0.5196 -0.3781284 GOOG Short-Inefficiency-Long-Efficiency q70 720 -0.1671 0.3192 -0.5234 -0.3813451 GOOGL Short-Inefficiency-Long-Efficiency q70 720 -0.2129 0.2851 -0.7467 -0.4667713 MSFT Short-Inefficiency-Long-Efficiency q70 720 -0.2349 0.5408 -0.4343 -0.5050660 NVDA Short-Inefficiency-Long-Efficiency q70 720 -0.2557 0.3233 -0.7909 -0.5397137 XOM Short-Inefficiency-Long-Efficiency q70 720 -0.2583 0.2914 -0.8864 -0.5438172 CVX Short-Inefficiency-Long-Efficiency q70 720 -0.3547 0.6114 -0.5802 -0.6835732 TSLA Short-Inefficiency-Long-Efficiency q70 720 -0.3597 0.3248 -1.1075 -0.6899825 AVGO Short-Inefficiency-Long-Efficiency q70 720 -0.3835 0.2823 -1.3588 -0.7193927 LLY Short-Inefficiency-Long-Efficiency q70 720 -0.3907 0.4990 -0.7830 -0.7278963 META Short-Inefficiency-Long-Efficiency q70 720 - q70 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0311 0.3169 0.0983 0.0838950 AMZN Short-Inefficiency q70 720 -0.0588 0.1743 -0.3374 -0.1472153 PG Short-Inefficiency q70 720 -0.0730 0.2557 -0.2854 -0.1804967 V Short-Inefficiency q70 720 -0.0758 0.1589 -0.4768 -0.1869773 JNJ Short-Inefficiency q70 720 -0.0947 0.2554 -0.3706 -0.2299273 HD Short-Inefficiency q70 720 -0.0961 0.2825 -0.3401 -0.2331295 MA Short-Inefficiency q70 720 -0.1110 0.2536 -0.4375 -0.2658098 JPM Short-Inefficiency q70 720 -0.1409 0.2189 -0.6434 -0.3289016 UNH Short-Inefficiency q70 720 -0.1460 0.2623 -0.5566 -0.3393424 GOOGL Short-Inefficiency q70 720 -0.1466 0.2636 -0.5562 -0.3406762 GOOG Short-Inefficiency q70 720 -0.1690 0.2796 -0.6045 -0.3851799 AAPL Short-Inefficiency q70 720 -0.2023 0.2843 -0.7115 -0.4477879 MSFT Short-Inefficiency q70 720 -0.2295 0.3913 -0.5866 -0.4958988 META Short-Inefficiency q70 720 -0.2746 0.2870 -0.9568 -0.5697795 CVX Short-Inefficiency q70 720 -0.3211 0.2724 -1.1787 -0.6384000 XOM Short-Inefficiency q70 720 -0.3311 0.5117 -0.6471 -0.6523345 NVDA Short-Inefficiency q70 720 -0.3444 0.3212 -1.0723 -0.6702148 AVGO Short-Inefficiency q70 720 -0.3481 0.6112 -0.5696 -0.6750547 TSLA Short-Inefficiency q70 720 -0.3903 0.2816 -1.3858 -0.7273768 LLY Short-Inefficiency q70 720 - q70 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.4968 0.2823 1.7599 1.8848099 LLY Short-Efficiency-Long-Inefficiency q70 720 0.4046 0.3248 1.2457 1.4413030 AVGO Short-Efficiency-Long-Inefficiency q70 720 0.2744 0.4990 0.5500 0.8909467 META Short-Efficiency-Long-Inefficiency q70 720 0.2382 0.2914 0.8177 0.7530348 CVX Short-Efficiency-Long-Inefficiency q70 720 0.2101 0.3233 0.6496 0.6501546 XOM Short-Efficiency-Long-Inefficiency q70 720 0.1712 0.2851 0.6003 0.5144176 MSFT Short-Efficiency-Long-Inefficiency q70 720 0.1050 0.2190 0.4794 0.2999584 UNH Short-Efficiency-Long-Inefficiency q70 720 0.0843 0.3192 0.2641 0.2368379 GOOGL Short-Efficiency-Long-Inefficiency q70 720 0.0827 0.3184 0.2597 0.2320631 GOOG Short-Efficiency-Long-Inefficiency q70 720 0.0654 0.6114 0.1070 0.1811473 TSLA Short-Efficiency-Long-Inefficiency q70 720 0.0598 0.2911 0.2053 0.1647071 AAPL Short-Efficiency-Long-Inefficiency q70 720 0.0490 0.1592 0.3077 0.1338529 JNJ Short-Efficiency-Long-Inefficiency q70 720 0.0333 0.2577 0.1294 0.0899524 JPM Short-Efficiency-Long-Inefficiency q70 720 0.0326 0.2831 0.1151 0.0878790 MA Short-Efficiency-Long-Inefficiency q70 720 0.0267 0.2558 0.1043 0.0716209 HD Short-Efficiency-Long-Inefficiency q70 720 0.0217 0.1772 0.1226 0.0581044 PG Short-Efficiency-Long-Inefficiency q70 720 0.0093 0.2557 0.0365 0.0246868 V Short-Efficiency-Long-Inefficiency q70 720 -0.0251 0.5408 -0.0464 -0.0645948 NVDA Short-Efficiency-Long-Inefficiency q70 720 -0.1438 0.3797 -0.3789 -0.3349976 AMZN Short-Efficiency-Long-Inefficiency q70 720 - q70 : Short-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.1451 0.3101 0.4680 0.4275402 META Short-Efficiency q70 720 0.0214 0.0487 0.4392 0.0571595 AVGO Short-Efficiency q70 720 0.0129 0.0212 0.6105 0.0343769 MSFT Short-Efficiency q70 720 0.0109 0.0178 0.6116 0.0287947 MA Short-Efficiency q70 720 0.0099 0.0162 0.6120 0.0262154 TSLA Short-Efficiency q70 720 -0.0011 0.0018 -0.6175 -0.0029578 V Short-Efficiency q70 720 -0.0040 0.0065 -0.6190 -0.0104878 UNH Short-Efficiency q70 720 -0.0057 0.0092 -0.6199 -0.0149479 JNJ Short-Efficiency q70 720 -0.0079 0.0127 -0.6209 -0.0205312 HD Short-Efficiency q70 720 -0.0081 0.1819 -0.0443 -0.0210154 GOOGL Short-Efficiency q70 720 -0.0087 0.0319 -0.2735 -0.0227296 PG Short-Efficiency q70 720 -0.0096 0.1785 -0.0536 -0.0249301 GOOG Short-Efficiency q70 720 -0.0113 0.0181 -0.6227 -0.0292863 LLY Short-Efficiency q70 720 -0.0203 0.0453 -0.4487 -0.0525169 JPM Short-Efficiency q70 720 -0.0238 0.2091 -0.1137 -0.0612664 AMZN Short-Efficiency q70 720 -0.0245 0.0495 -0.4937 -0.0629714 CVX Short-Efficiency q70 720 -0.0477 0.0807 -0.5917 -0.1205715 AAPL Short-Efficiency q70 720 -0.1148 0.1734 -0.6621 -0.2740798 XOM Short-Efficiency q70 720 -0.1520 0.1742 -0.8728 -0.3515791 NVDA Short-Efficiency q70 720 Significance q90
- q70 : Short-Efficiency
- q70 : Short-Efficiency-Long-Inefficiency
- q70 : Short-Inefficiency
- q90 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0984 0.5407 0.1820 0.2796517 NVDA Short-Inefficiency-Long-Efficiency q90 720 0.0422 0.3796 0.1111 0.1146718 AMZN Short-Inefficiency-Long-Efficiency q90 720 0.0412 0.3236 0.1273 0.1119295 XOM Short-Inefficiency-Long-Efficiency q90 720 0.0021 0.2831 0.0073 0.0054100 MA Short-Inefficiency-Long-Efficiency q90 720 -0.0245 0.3185 -0.0770 -0.0631666 GOOG Short-Inefficiency-Long-Efficiency q90 720 -0.0353 0.2558 -0.1381 -0.0901356 HD Short-Inefficiency-Long-Efficiency q90 720 -0.0391 0.2912 -0.1342 -0.0994441 AAPL Short-Inefficiency-Long-Efficiency q90 720 -0.0455 0.1772 -0.2565 -0.1150490 PG Short-Inefficiency-Long-Efficiency q90 720 -0.0638 0.1592 -0.4005 -0.1589394 JNJ Short-Inefficiency-Long-Efficiency q90 720 -0.0719 0.2557 -0.2813 -0.1780728 V Short-Inefficiency-Long-Efficiency q90 720 -0.1061 0.3193 -0.3324 -0.2552707 GOOGL Short-Inefficiency-Long-Efficiency q90 720 -0.1193 0.2576 -0.4632 -0.2838321 JPM Short-Inefficiency-Long-Efficiency q90 720 -0.1374 0.2190 -0.6275 -0.3218632 UNH Short-Inefficiency-Long-Efficiency q90 720 -0.1493 0.3257 -0.4584 -0.3460250 AVGO Short-Inefficiency-Long-Efficiency q90 720 -0.2129 0.2851 -0.7467 -0.4667713 MSFT Short-Inefficiency-Long-Efficiency q90 720 -0.2964 0.2912 -1.0181 -0.6029080 CVX Short-Inefficiency-Long-Efficiency q90 720 -0.3464 0.6114 -0.5665 -0.6727305 TSLA Short-Inefficiency-Long-Efficiency q90 720 -0.3526 0.2825 -1.2480 -0.6809071 LLY Short-Inefficiency-Long-Efficiency q90 720 -0.3673 0.4991 -0.7359 -0.6995656 META Short-Inefficiency-Long-Efficiency q90 720 - q90 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0489 0.3107 0.1574 0.1336672 AMZN Short-Inefficiency q90 720 -0.0408 0.2742 -0.1486 -0.1035490 MA Short-Inefficiency q90 720 -0.0554 0.1716 -0.3227 -0.1390117 PG Short-Inefficiency q90 720 -0.0639 0.2012 -0.3177 -0.1592910 GOOG Short-Inefficiency q90 720 -0.0683 0.2523 -0.2708 -0.1696391 HD Short-Inefficiency q90 720 -0.0721 0.1566 -0.4602 -0.1783914 JNJ Short-Inefficiency q90 720 -0.0730 0.2557 -0.2854 -0.1804967 V Short-Inefficiency q90 720 -0.1033 0.2046 -0.5048 -0.2490733 GOOGL Short-Inefficiency q90 720 -0.1207 0.2608 -0.4627 -0.2866826 AAPL Short-Inefficiency q90 720 -0.1227 0.2510 -0.4890 -0.2910360 JPM Short-Inefficiency q90 720 -0.1409 0.2189 -0.6434 -0.3289016 UNH Short-Inefficiency q90 720 -0.1849 0.4783 -0.3867 -0.4156016 NVDA Short-Inefficiency q90 720 -0.1912 0.2452 -0.7795 -0.4272552 XOM Short-Inefficiency q90 720 -0.2023 0.2843 -0.7115 -0.4477879 MSFT Short-Inefficiency q90 720 -0.2030 0.3510 -0.5784 -0.4490381 META Short-Inefficiency q90 720 -0.2392 0.2996 -0.7982 -0.5122883 AVGO Short-Inefficiency q90 720 -0.2929 0.2837 -1.0323 -0.5976456 CVX Short-Inefficiency q90 720 -0.3439 0.6111 -0.5628 -0.6694873 TSLA Short-Inefficiency q90 720 -0.3737 0.2732 -1.3676 -0.7074724 LLY Short-Inefficiency q90 720 - q90 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.4253 0.2825 1.5052 1.5368753 LLY Short-Efficiency-Long-Inefficiency q90 720 0.3054 0.2912 1.0489 1.0139016 CVX Short-Efficiency-Long-Inefficiency q90 720 0.2273 0.4991 0.4554 0.7126322 META Short-Efficiency-Long-Inefficiency q90 720 0.1712 0.2851 0.6003 0.5144176 MSFT Short-Efficiency-Long-Inefficiency q90 720 0.1050 0.2190 0.4794 0.2999584 UNH Short-Efficiency-Long-Inefficiency q90 720 0.0626 0.2576 0.2430 0.1729767 JPM Short-Efficiency-Long-Inefficiency q90 720 0.0572 0.3257 0.1756 0.1573020 AVGO Short-Efficiency-Long-Inefficiency q90 720 0.0518 0.6114 0.0848 0.1420148 TSLA Short-Efficiency-Long-Inefficiency q90 720 0.0414 0.1592 0.2600 0.1124380 JNJ Short-Efficiency-Long-Inefficiency q90 720 0.0153 0.1772 0.0861 0.0405831 PG Short-Efficiency-Long-Inefficiency q90 720 0.0104 0.3193 0.0325 0.0274549 GOOGL Short-Efficiency-Long-Inefficiency q90 720 0.0093 0.2557 0.0365 0.0246868 V Short-Efficiency-Long-Inefficiency q90 720 -0.0290 0.2558 -0.1134 -0.0744018 HD Short-Efficiency-Long-Inefficiency q90 720 -0.0439 0.2912 -0.1506 -0.1111703 AAPL Short-Efficiency-Long-Inefficiency q90 720 -0.0737 0.3185 -0.2314 -0.1821544 GOOG Short-Efficiency-Long-Inefficiency q90 720 -0.0789 0.2831 -0.2786 -0.1941198 MA Short-Efficiency-Long-Inefficiency q90 720 -0.1351 0.3236 -0.4173 -0.3169140 XOM Short-Efficiency-Long-Inefficiency q90 720 -0.1694 0.3796 -0.4462 -0.3858908 AMZN Short-Efficiency-Long-Inefficiency q90 720 -0.3209 0.5407 -0.5935 -0.6382111 NVDA Short-Efficiency-Long-Inefficiency q90 720 - q90 : Short-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.1070 0.3551 0.3013 0.3061244 META Short-Efficiency q90 720 0.0129 0.0212 0.6105 0.0343769 MSFT Short-Efficiency q90 720 0.0034 0.0192 0.1762 0.0089293 TSLA Short-Efficiency q90 720 0.0007 0.0655 0.0112 0.0019248 CVX Short-Efficiency q90 720 -0.0011 0.0018 -0.6175 -0.0029578 V Short-Efficiency q90 720 -0.0040 0.0065 -0.6190 -0.0104878 UNH Short-Efficiency q90 720 -0.0072 0.0582 -0.1238 -0.0188038 JPM Short-Efficiency q90 720 -0.0097 0.0287 -0.3371 -0.0252418 JNJ Short-Efficiency q90 720 -0.0123 0.0441 -0.2791 -0.0320411 PG Short-Efficiency q90 720 -0.0359 0.0422 -0.8514 -0.0916453 HD Short-Efficiency q90 720 -0.0374 0.0710 -0.5267 -0.0953364 LLY Short-Efficiency q90 720 -0.0403 0.2181 -0.1849 -0.1024802 AMZN Short-Efficiency q90 720 -0.0475 0.0704 -0.6743 -0.1199158 MA Short-Efficiency q90 720 -0.0553 0.2450 -0.2255 -0.1386994 GOOGL Short-Efficiency q90 720 -0.0971 0.2468 -0.3933 -0.2353040 GOOG Short-Efficiency q90 720 -0.1001 0.1293 -0.7743 -0.2420059 AAPL Short-Efficiency q90 720 -0.1200 0.1267 -0.9468 -0.2851605 AVGO Short-Efficiency q90 720 -0.2570 0.2102 -1.2222 -0.5416933 XOM Short-Efficiency q90 720 -0.3041 0.2518 -1.2081 -0.6142467 NVDA Short-Efficiency q90 720 Significance q95
- q90 : Short-Efficiency
- q90 : Short-Efficiency-Long-Inefficiency
- q90 : Short-Inefficiency
- q95 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.3149 0.3230 0.9750 1.0529228 XOM Short-Inefficiency-Long-Efficiency q95 720 0.2312 0.5404 0.4278 0.7269636 NVDA Short-Inefficiency-Long-Efficiency q95 720 0.0386 0.3796 0.1018 0.1047277 AMZN Short-Inefficiency-Long-Efficiency q95 720 0.0312 0.3184 0.0981 0.0841608 GOOG Short-Inefficiency-Long-Efficiency q95 720 0.0309 0.2577 0.1200 0.0832646 JPM Short-Inefficiency-Long-Efficiency q95 720 0.0189 0.2831 0.0668 0.0504320 MA Short-Inefficiency-Long-Efficiency q95 720 -0.0120 0.3193 -0.0375 -0.0311698 GOOGL Short-Inefficiency-Long-Efficiency q95 720 -0.0184 0.1772 -0.1039 -0.0476500 PG Short-Inefficiency-Long-Efficiency q95 720 -0.0279 0.1592 -0.1751 -0.0715860 JNJ Short-Inefficiency-Long-Efficiency q95 720 -0.0330 0.3257 -0.1012 -0.0842854 AVGO Short-Inefficiency-Long-Efficiency q95 720 -0.0510 0.2912 -0.1752 -0.1285293 AAPL Short-Inefficiency-Long-Efficiency q95 720 -0.0528 0.2558 -0.2065 -0.1328886 HD Short-Inefficiency-Long-Efficiency q95 720 -0.0719 0.2557 -0.2813 -0.1780728 V Short-Inefficiency-Long-Efficiency q95 720 -0.1447 0.2190 -0.6607 -0.3367788 UNH Short-Inefficiency-Long-Efficiency q95 720 -0.2129 0.2851 -0.7467 -0.4667713 MSFT Short-Inefficiency-Long-Efficiency q95 720 -0.2275 0.2833 -0.8031 -0.4924589 LLY Short-Inefficiency-Long-Efficiency q95 720 -0.2539 0.4994 -0.5085 -0.5367674 META Short-Inefficiency-Long-Efficiency q95 720 -0.2678 0.2913 -0.9194 -0.5590928 CVX Short-Inefficiency-Long-Efficiency q95 720 -0.3405 0.6114 -0.5569 -0.6649556 TSLA Short-Inefficiency-Long-Efficiency q95 720 - q95 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0476 0.3094 0.1537 0.1298344 AMZN Short-Inefficiency q95 720 -0.0324 0.2730 -0.1187 -0.0828630 MA Short-Inefficiency q95 720 -0.0337 0.1806 -0.1868 -0.0861970 GOOG Short-Inefficiency q95 720 -0.0419 0.1706 -0.2457 -0.1064114 PG Short-Inefficiency q95 720 -0.0488 0.2424 -0.2013 -0.1231508 JPM Short-Inefficiency q95 720 -0.0522 0.1765 -0.2957 -0.1313254 GOOGL Short-Inefficiency q95 720 -0.0536 0.1505 -0.3559 -0.1346487 JNJ Short-Inefficiency q95 720 -0.0730 0.2557 -0.2854 -0.1804967 V Short-Inefficiency q95 720 -0.0766 0.2515 -0.3047 -0.1889887 HD Short-Inefficiency q95 720 -0.0860 0.2217 -0.3878 -0.2103257 XOM Short-Inefficiency q95 720 -0.1244 0.2528 -0.4919 -0.2945126 AAPL Short-Inefficiency q95 720 -0.1303 0.3368 -0.3868 -0.3069329 META Short-Inefficiency q95 720 -0.1332 0.4689 -0.2841 -0.3131646 NVDA Short-Inefficiency q95 720 -0.1445 0.2188 -0.6602 -0.3362822 UNH Short-Inefficiency q95 720 -0.1853 0.2852 -0.6499 -0.4163520 AVGO Short-Inefficiency q95 720 -0.2023 0.2843 -0.7115 -0.4477879 MSFT Short-Inefficiency q95 720 -0.2782 0.2816 -0.9881 -0.5753262 CVX Short-Inefficiency q95 720 -0.3130 0.2579 -1.2134 -0.6269722 LLY Short-Inefficiency q95 720 -0.3405 0.6100 -0.5582 -0.6650241 TSLA Short-Inefficiency q95 720 - q95 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.2544 0.2913 0.8733 0.8137701 CVX Short-Efficiency-Long-Inefficiency q95 720 0.1945 0.2833 0.6865 0.5949425 LLY Short-Efficiency-Long-Inefficiency q95 720 0.1712 0.2851 0.6003 0.5144176 MSFT Short-Efficiency-Long-Inefficiency q95 720 0.1144 0.2190 0.5224 0.3291940 UNH Short-Efficiency-Long-Inefficiency q95 720 0.0425 0.6114 0.0695 0.1155136 TSLA Short-Efficiency-Long-Inefficiency q95 720 0.0408 0.4994 0.0817 0.1107458 META Short-Efficiency-Long-Inefficiency q95 720 0.0093 0.2557 0.0365 0.0246868 V Short-Efficiency-Long-Inefficiency q95 720 0.0030 0.1592 0.0185 0.0077701 JNJ Short-Efficiency-Long-Inefficiency q95 720 -0.0110 0.2558 -0.0432 -0.0287651 HD Short-Efficiency-Long-Inefficiency q95 720 -0.0127 0.1772 -0.0717 -0.0330603 PG Short-Efficiency-Long-Inefficiency q95 720 -0.0318 0.2912 -0.1094 -0.0815059 AAPL Short-Efficiency-Long-Inefficiency q95 720 -0.0700 0.3257 -0.2148 -0.1734907 AVGO Short-Efficiency-Long-Inefficiency q95 720 -0.0859 0.3193 -0.2691 -0.2102065 GOOGL Short-Efficiency-Long-Inefficiency q95 720 -0.0923 0.2577 -0.3580 -0.2245216 JPM Short-Efficiency-Long-Inefficiency q95 720 -0.0941 0.2831 -0.3324 -0.2286602 MA Short-Efficiency-Long-Inefficiency q95 720 -0.1238 0.3184 -0.3887 -0.2932920 GOOG Short-Efficiency-Long-Inefficiency q95 720 -0.1666 0.3796 -0.4387 -0.3803630 AMZN Short-Efficiency-Long-Inefficiency q95 720 -0.3151 0.3230 -0.9754 -0.6300185 XOM Short-Efficiency-Long-Inefficiency q95 720 -0.3942 0.5404 -0.7293 -0.7319203 NVDA Short-Efficiency-Long-Inefficiency q95 720 - q95 : Short-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0144 0.3689 0.0391 0.0383191 META Short-Efficiency q95 720 0.0129 0.0212 0.6105 0.0343769 MSFT Short-Efficiency q95 720 0.0002 0.0094 0.0208 0.0005157 UNH Short-Efficiency q95 720 -0.0011 0.0018 -0.6175 -0.0029578 V Short-Efficiency q95 720 -0.0017 0.0406 -0.0424 -0.0045137 TSLA Short-Efficiency q95 720 -0.0196 0.0745 -0.2636 -0.0507329 CVX Short-Efficiency q95 720 -0.0262 0.0480 -0.5461 -0.0673546 PG Short-Efficiency q95 720 -0.0272 0.0464 -0.5870 -0.0699733 HD Short-Efficiency q95 720 -0.0290 0.0520 -0.5589 -0.0745149 JNJ Short-Efficiency q95 720 -0.0391 0.2200 -0.1776 -0.0994355 AMZN Short-Efficiency q95 720 -0.0557 0.0751 -0.7413 -0.1397661 MA Short-Efficiency q95 720 -0.0844 0.0874 -0.9654 -0.2066677 JPM Short-Efficiency q95 720 -0.0963 0.1443 -0.6675 -0.2335932 AAPL Short-Efficiency q95 720 -0.1062 0.2660 -0.3993 -0.2554477 GOOGL Short-Efficiency q95 720 -0.1225 0.1157 -1.0584 -0.2905647 LLY Short-Efficiency q95 720 -0.1253 0.2623 -0.4777 -0.2964711 GOOG Short-Efficiency q95 720 -0.1781 0.1567 -1.1368 -0.4026612 AVGO Short-Efficiency q95 720 -0.3425 0.2346 -1.4601 -0.6675936 XOM Short-Efficiency q95 720 -0.3456 0.2685 -1.2875 -0.6717793 NVDA Short-Efficiency q95 720 Significance q99
- q95 : Short-Efficiency
- q95 : Short-Efficiency-Long-Inefficiency
- q95 : Short-Inefficiency
- q99 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.4064 0.3227 1.2592 1.4495667 XOM Short-Inefficiency-Long-Efficiency q99 720 0.1371 0.5406 0.2536 0.4014067 NVDA Short-Inefficiency-Long-Efficiency q99 720 0.1093 0.3256 0.3357 0.3132544 AVGO Short-Inefficiency-Long-Efficiency q99 720 0.0746 0.2576 0.2895 0.2079676 JPM Short-Inefficiency-Long-Efficiency q99 720 0.0303 0.2831 0.1071 0.0816449 MA Short-Inefficiency-Long-Efficiency q99 720 0.0061 0.1772 0.0342 0.0160136 PG Short-Inefficiency-Long-Efficiency q99 720 -0.0102 0.3797 -0.0269 -0.0265746 AMZN Short-Inefficiency-Long-Efficiency q99 720 -0.0611 0.1592 -0.3835 -0.1525564 JNJ Short-Inefficiency-Long-Efficiency q99 720 -0.0896 0.2557 -0.3504 -0.2185415 V Short-Inefficiency-Long-Efficiency q99 720 -0.1067 0.2191 -0.4868 -0.2564153 UNH Short-Inefficiency-Long-Efficiency q99 720 -0.1164 0.3184 -0.3656 -0.2775578 GOOG Short-Inefficiency-Long-Efficiency q99 720 -0.1253 0.2836 -0.4419 -0.2965430 LLY Short-Inefficiency-Long-Efficiency q99 720 -0.1343 0.2917 -0.4605 -0.3154347 CVX Short-Inefficiency-Long-Efficiency q99 720 -0.1466 0.2557 -0.5736 -0.3407054 HD Short-Inefficiency-Long-Efficiency q99 720 -0.1684 0.3192 -0.5278 -0.3840453 GOOGL Short-Inefficiency-Long-Efficiency q99 720 -0.1818 0.2910 -0.6247 -0.4097173 AAPL Short-Inefficiency-Long-Efficiency q99 720 -0.1839 0.2852 -0.6448 -0.4136674 MSFT Short-Inefficiency-Long-Efficiency q99 720 -0.2805 0.4994 -0.5618 -0.5789254 META Short-Inefficiency-Long-Efficiency q99 720 -0.4010 0.6112 -0.6560 -0.7397855 TSLA Short-Inefficiency-Long-Efficiency q99 720 - q99 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0230 0.3082 0.0746 0.0615699 AMZN Short-Inefficiency q99 720 -0.0230 0.2163 -0.1065 -0.0594219 JPM Short-Inefficiency q99 720 -0.0230 0.2577 -0.0894 -0.0594069 MA Short-Inefficiency q99 720 -0.0300 0.1702 -0.1762 -0.0768376 PG Short-Inefficiency q99 720 -0.0478 0.1862 -0.2570 -0.1208355 XOM Short-Inefficiency q99 720 -0.0694 0.1471 -0.4718 -0.1721432 JNJ Short-Inefficiency q99 720 -0.0805 0.2502 -0.3220 -0.1979657 V Short-Inefficiency q99 720 -0.1011 0.1505 -0.6719 -0.2442687 GOOG Short-Inefficiency q99 720 -0.1196 0.2519 -0.4748 -0.2844215 AVGO Short-Inefficiency q99 720 -0.1215 0.2418 -0.5024 -0.2883702 HD Short-Inefficiency q99 720 -0.1250 0.2154 -0.5802 -0.2958339 UNH Short-Inefficiency q99 720 -0.1263 0.1468 -0.8606 -0.2986161 GOOGL Short-Inefficiency q99 720 -0.1308 0.2800 -0.4671 -0.3080117 META Short-Inefficiency q99 720 -0.1601 0.4508 -0.3551 -0.3675904 NVDA Short-Inefficiency q99 720 -0.1790 0.2105 -0.8503 -0.4043095 AAPL Short-Inefficiency q99 720 -0.1868 0.2800 -0.6671 -0.4190396 MSFT Short-Inefficiency q99 720 -0.2130 0.2717 -0.7838 -0.4669231 CVX Short-Inefficiency q99 720 -0.2645 0.2335 -1.1327 -0.5537582 LLY Short-Inefficiency q99 720 -0.3688 0.6027 -0.6118 -0.7013719 TSLA Short-Inefficiency q99 720 - q99 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.1478 0.6112 0.2418 0.4363022 TSLA Short-Efficiency-Long-Inefficiency q99 720 0.1296 0.2852 0.4544 0.3772576 MSFT Short-Efficiency-Long-Inefficiency q99 720 0.1229 0.2910 0.4224 0.3560296 AAPL Short-Efficiency-Long-Inefficiency q99 720 0.0977 0.2557 0.3820 0.2773787 HD Short-Efficiency-Long-Inefficiency q99 720 0.0861 0.3192 0.2697 0.2422598 GOOGL Short-Efficiency-Long-Inefficiency q99 720 0.0793 0.4994 0.1588 0.2219537 META Short-Efficiency-Long-Inefficiency q99 720 0.0669 0.2191 0.3055 0.1855402 UNH Short-Efficiency-Long-Inefficiency q99 720 0.0610 0.2917 0.2090 0.1681928 CVX Short-Efficiency-Long-Inefficiency q99 720 0.0549 0.2836 0.1936 0.1507440 LLY Short-Efficiency-Long-Inefficiency q99 720 0.0384 0.1592 0.2412 0.1040591 JNJ Short-Efficiency-Long-Inefficiency q99 720 0.0289 0.2557 0.1131 0.0777513 V Short-Efficiency-Long-Inefficiency q99 720 0.0226 0.3184 0.0711 0.0605486 GOOG Short-Efficiency-Long-Inefficiency q99 720 -0.0367 0.1772 -0.2073 -0.0936489 PG Short-Efficiency-Long-Inefficiency q99 720 -0.1041 0.2831 -0.3679 -0.2509187 MA Short-Efficiency-Long-Inefficiency q99 720 -0.1254 0.3797 -0.3304 -0.2967821 AMZN Short-Efficiency-Long-Inefficiency q99 720 -0.1291 0.2576 -0.5013 -0.3045771 JPM Short-Efficiency-Long-Inefficiency q99 720 -0.1892 0.3256 -0.5812 -0.4236862 AVGO Short-Efficiency-Long-Inefficiency q99 720 -0.3440 0.5406 -0.6363 -0.6696435 NVDA Short-Efficiency-Long-Inefficiency q99 720 -0.3596 0.3227 -1.1143 -0.6899274 XOM Short-Efficiency-Long-Inefficiency q99 720 - q99 : Short-Efficiency
[1] “”Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0429 0.1020 0.4204 0.1166528 TSLA Short-Efficiency q99 720 0.0224 0.0833 0.2690 0.0599081 HD Short-Efficiency q99 720 0.0150 0.4136 0.0363 0.0399378 META Short-Efficiency q99 720 0.0071 0.0531 0.1337 0.0187587 V Short-Efficiency q99 720 -0.0064 0.0543 -0.1185 -0.0168084 MSFT Short-Efficiency q99 720 -0.0125 0.0610 -0.2056 -0.0325987 JNJ Short-Efficiency q99 720 -0.0160 0.2217 -0.0722 -0.0415245 AMZN Short-Efficiency q99 720 -0.0221 0.0399 -0.5539 -0.0569553 UNH Short-Efficiency q99 720 -0.0304 0.2834 -0.1072 -0.0778607 GOOGL Short-Efficiency q99 720 -0.0362 0.2009 -0.1802 -0.0923301 AAPL Short-Efficiency q99 720 -0.0382 0.0495 -0.7709 -0.0972322 PG Short-Efficiency q99 720 -0.0597 0.2806 -0.2128 -0.1493182 GOOG Short-Efficiency q99 720 -0.0647 0.1172 -0.5525 -0.1612182 MA Short-Efficiency q99 720 -0.1009 0.1054 -0.9569 -0.2437697 CVX Short-Efficiency q99 720 -0.1085 0.1399 -0.7756 -0.2604200 JPM Short-Efficiency q99 720 -0.1804 0.1597 -1.1297 -0.4069603 LLY Short-Efficiency q99 720 -0.2395 0.2058 -1.1637 -0.5127919 AVGO Short-Efficiency q99 720 -0.3247 0.2981 -1.0894 -0.6435323 NVDA Short-Efficiency q99 720 -0.3688 0.2634 -1.4000 -0.7014293 XOM Short-Efficiency q99 720
- q99 : Short-Efficiency
- q99 : Short-Efficiency-Long-Inefficiency
- q99 : Short-Inefficiency
1080 Window
Significance q70
- q70 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0522 0.2405 0.2169 0.0628351 UNH Short-Inefficiency-Long-Efficiency q70 1080 0.0509 0.4594 0.1107 0.0612655 AMZN Short-Inefficiency-Long-Efficiency q70 1080 0.0314 0.6432 0.0488 0.0376914 TSLA Short-Inefficiency-Long-Efficiency q70 1080 0.0176 0.3061 0.0576 0.0211582 CVX Short-Inefficiency-Long-Efficiency q70 1080 0.0139 0.1640 0.0849 0.0167154 JNJ Short-Inefficiency-Long-Efficiency q70 1080 -0.0064 0.3766 -0.0170 -0.0076660 GOOGL Short-Inefficiency-Long-Efficiency q70 1080 -0.0119 0.1979 -0.0600 -0.0142241 PG Short-Inefficiency-Long-Efficiency q70 1080 -0.0133 0.3790 -0.0351 -0.0159037 GOOG Short-Inefficiency-Long-Efficiency q70 1080 -0.0964 0.2865 -0.3364 -0.1143985 HD Short-Inefficiency-Long-Efficiency q70 1080 -0.1072 0.2705 -0.3964 -0.1270931 MA Short-Inefficiency-Long-Efficiency q70 1080 -0.1113 0.2544 -0.4375 -0.1318714 V Short-Inefficiency-Long-Efficiency q70 1080 -0.1544 0.2751 -0.5610 -0.1820205 JPM Short-Inefficiency-Long-Efficiency q70 1080 -0.1603 0.3220 -0.4977 -0.1888843 AAPL Short-Inefficiency-Long-Efficiency q70 1080 -0.1907 0.3330 -0.5728 -0.2240294 MSFT Short-Inefficiency-Long-Efficiency q70 1080 -0.2130 0.3235 -0.6586 -0.2495563 XOM Short-Inefficiency-Long-Efficiency q70 1080 -0.3283 0.3526 -0.9309 -0.3792406 AVGO Short-Inefficiency-Long-Efficiency q70 1080 -0.3382 0.5903 -0.5729 -0.3901906 META Short-Inefficiency-Long-Efficiency q70 1080 -0.3456 0.2624 -1.3173 -0.3984241 LLY Short-Inefficiency-Long-Efficiency q70 1080 -0.4987 0.6025 -0.8277 -0.5628514 NVDA Short-Inefficiency-Long-Efficiency q70 1080 - q70 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0534 0.2404 0.2220 0.0643086 UNH Short-Inefficiency q70 1080 0.0447 0.4594 0.0973 0.0538004 AMZN Short-Inefficiency q70 1080 0.0247 0.1636 0.1507 0.0296160 JNJ Short-Inefficiency q70 1080 0.0150 0.6429 0.0233 0.0179489 TSLA Short-Inefficiency q70 1080 0.0065 0.3058 0.0211 0.0077400 CVX Short-Inefficiency q70 1080 -0.0039 0.1977 -0.0198 -0.0047007 PG Short-Inefficiency q70 1080 -0.0125 0.3766 -0.0333 -0.0149953 GOOGL Short-Inefficiency q70 1080 -0.0178 0.3790 -0.0471 -0.0213336 GOOG Short-Inefficiency q70 1080 -0.0855 0.2863 -0.2987 -0.1015921 HD Short-Inefficiency q70 1080 -0.1051 0.2705 -0.3885 -0.1245940 MA Short-Inefficiency q70 1080 -0.1126 0.2544 -0.4427 -0.1334176 V Short-Inefficiency q70 1080 -0.1563 0.2743 -0.5699 -0.1842792 JPM Short-Inefficiency q70 1080 -0.1593 0.3220 -0.4948 -0.1878027 AAPL Short-Inefficiency q70 1080 -0.1924 0.3330 -0.5778 -0.2259355 MSFT Short-Inefficiency q70 1080 -0.2158 0.3159 -0.6831 -0.2527086 XOM Short-Inefficiency q70 1080 -0.3397 0.5903 -0.5755 -0.3918952 META Short-Inefficiency q70 1080 -0.3400 0.2623 -1.2966 -0.3922728 LLY Short-Inefficiency q70 1080 -0.3402 0.3520 -0.9667 -0.3924872 AVGO Short-Inefficiency q70 1080 -0.5086 0.6020 -0.8449 -0.5732624 NVDA Short-Inefficiency q70 1080 - q70 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.4259 0.2624 1.6234 0.5299141 LLY Short-Efficiency-Long-Inefficiency q70 1080 0.3853 0.6025 0.6395 0.4778267 NVDA Short-Efficiency-Long-Inefficiency q70 1080 0.3143 0.3526 0.8915 0.3875961 AVGO Short-Efficiency-Long-Inefficiency q70 1080 0.1446 0.3235 0.4470 0.1756857 XOM Short-Efficiency-Long-Inefficiency q70 1080 0.1062 0.3330 0.3188 0.1285384 MSFT Short-Efficiency-Long-Inefficiency q70 1080 0.0965 0.2751 0.3505 0.1166670 JPM Short-Efficiency-Long-Inefficiency q70 1080 0.0738 0.3220 0.2290 0.0890193 AAPL Short-Efficiency-Long-Inefficiency q70 1080 0.0627 0.5903 0.1063 0.0756440 META Short-Efficiency-Long-Inefficiency q70 1080 0.0549 0.2544 0.2157 0.0661278 V Short-Efficiency-Long-Inefficiency q70 1080 0.0412 0.2705 0.1525 0.0496242 MA Short-Efficiency-Long-Inefficiency q70 1080 0.0196 0.2865 0.0686 0.0235886 HD Short-Efficiency-Long-Inefficiency q70 1080 -0.0268 0.1979 -0.1352 -0.0319750 PG Short-Efficiency-Long-Inefficiency q70 1080 -0.0398 0.1640 -0.2429 -0.0475625 JNJ Short-Efficiency-Long-Inefficiency q70 1080 -0.1029 0.2405 -0.4278 -0.1219684 UNH Short-Efficiency-Long-Inefficiency q70 1080 -0.1050 0.3061 -0.3431 -0.1245005 CVX Short-Efficiency-Long-Inefficiency q70 1080 -0.1219 0.3790 -0.3216 -0.1442406 GOOG Short-Efficiency-Long-Inefficiency q70 1080 -0.1264 0.3766 -0.3356 -0.1495196 GOOGL Short-Efficiency-Long-Inefficiency q70 1080 -0.2294 0.4594 -0.4994 -0.2682293 AMZN Short-Efficiency-Long-Inefficiency q70 1080 -0.3589 0.6432 -0.5580 -0.4130400 TSLA Short-Efficiency-Long-Inefficiency q70 1080 - q70 : Short-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0119 0.0130 0.9124 0.0142546 HD Short-Efficiency q70 1080 0.0104 0.0114 0.9125 0.0125295 JNJ Short-Efficiency q70 1080 0.0084 0.0092 0.9127 0.0101218 LLY Short-Efficiency q70 1080 0.0080 0.0087 0.9128 0.0095683 PG Short-Efficiency q70 1080 0.0024 0.0026 0.9133 0.0028547 MA Short-Efficiency q70 1080 0.0012 0.0013 0.9134 0.0013844 UNH Short-Efficiency q70 1080 0.0011 0.0012 0.9134 0.0013318 AAPL Short-Efficiency q70 1080 -0.0015 0.0016 -0.9136 -0.0017843 V Short-Efficiency q70 1080 -0.0021 0.0022 -0.9137 -0.0024624 MSFT Short-Efficiency q70 1080 -0.0023 0.0026 -0.9137 -0.0028032 META Short-Efficiency q70 1080 -0.0028 0.0219 -0.1270 -0.0033327 JPM Short-Efficiency q70 1080 -0.0046 0.0051 -0.9139 -0.0055483 GOOG Short-Efficiency q70 1080 -0.0059 0.0065 -0.9140 -0.0070840 AMZN Short-Efficiency q70 1080 -0.0062 0.0068 -0.9140 -0.0074408 GOOGL Short-Efficiency q70 1080 -0.0083 0.0696 -0.1194 -0.0099493 XOM Short-Efficiency q70 1080 -0.0111 0.0122 -0.9145 -0.0133151 CVX Short-Efficiency q70 1080 -0.0162 0.0177 -0.9150 -0.0193944 TSLA Short-Efficiency q70 1080 -0.0182 0.0199 -0.9151 -0.0218048 AVGO Short-Efficiency q70 1080 -0.0204 0.0223 -0.9153 -0.0243966 NVDA Short-Efficiency q70 1080 Significance q90
- q70 : Short-Efficiency
- q70 : Short-Efficiency-Long-Inefficiency
- q70 : Short-Inefficiency
- q90 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0522 0.2405 0.2169 0.0628351 UNH Short-Inefficiency-Long-Efficiency q90 1080 0.0509 0.4594 0.1107 0.0612655 AMZN Short-Inefficiency-Long-Efficiency q90 1080 0.0314 0.6432 0.0488 0.0376914 TSLA Short-Inefficiency-Long-Efficiency q90 1080 0.0176 0.3061 0.0576 0.0211582 CVX Short-Inefficiency-Long-Efficiency q90 1080 0.0139 0.1640 0.0849 0.0167154 JNJ Short-Inefficiency-Long-Efficiency q90 1080 -0.0064 0.3766 -0.0170 -0.0076660 GOOGL Short-Inefficiency-Long-Efficiency q90 1080 -0.0119 0.1979 -0.0600 -0.0142241 PG Short-Inefficiency-Long-Efficiency q90 1080 -0.0133 0.3790 -0.0351 -0.0159037 GOOG Short-Inefficiency-Long-Efficiency q90 1080 -0.0964 0.2865 -0.3364 -0.1143985 HD Short-Inefficiency-Long-Efficiency q90 1080 -0.1072 0.2705 -0.3964 -0.1270931 MA Short-Inefficiency-Long-Efficiency q90 1080 -0.1113 0.2544 -0.4375 -0.1318714 V Short-Inefficiency-Long-Efficiency q90 1080 -0.1295 0.3236 -0.4003 -0.1531730 XOM Short-Inefficiency-Long-Efficiency q90 1080 -0.1510 0.2752 -0.5488 -0.1781400 JPM Short-Inefficiency-Long-Efficiency q90 1080 -0.1603 0.3220 -0.4977 -0.1888843 AAPL Short-Inefficiency-Long-Efficiency q90 1080 -0.1907 0.3330 -0.5728 -0.2240294 MSFT Short-Inefficiency-Long-Efficiency q90 1080 -0.3283 0.3526 -0.9309 -0.3792406 AVGO Short-Inefficiency-Long-Efficiency q90 1080 -0.3382 0.5903 -0.5729 -0.3901906 META Short-Inefficiency-Long-Efficiency q90 1080 -0.3456 0.2624 -1.3173 -0.3984241 LLY Short-Inefficiency-Long-Efficiency q90 1080 -0.5704 0.6019 -0.9477 -0.6367299 NVDA Short-Inefficiency-Long-Efficiency q90 1080 - q90 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0534 0.2404 0.2220 0.0643086 UNH Short-Inefficiency q90 1080 0.0447 0.4594 0.0973 0.0538004 AMZN Short-Inefficiency q90 1080 0.0247 0.1636 0.1507 0.0296160 JNJ Short-Inefficiency q90 1080 0.0150 0.6429 0.0233 0.0179489 TSLA Short-Inefficiency q90 1080 0.0065 0.3058 0.0211 0.0077400 CVX Short-Inefficiency q90 1080 -0.0039 0.1977 -0.0198 -0.0047007 PG Short-Inefficiency q90 1080 -0.0125 0.3766 -0.0333 -0.0149953 GOOGL Short-Inefficiency q90 1080 -0.0178 0.3790 -0.0471 -0.0213336 GOOG Short-Inefficiency q90 1080 -0.0855 0.2863 -0.2987 -0.1015921 HD Short-Inefficiency q90 1080 -0.1051 0.2705 -0.3885 -0.1245940 MA Short-Inefficiency q90 1080 -0.1126 0.2544 -0.4427 -0.1334176 V Short-Inefficiency q90 1080 -0.1487 0.2474 -0.6011 -0.1754633 JPM Short-Inefficiency q90 1080 -0.1593 0.3220 -0.4948 -0.1878027 AAPL Short-Inefficiency q90 1080 -0.1744 0.3128 -0.5576 -0.2052284 XOM Short-Inefficiency q90 1080 -0.1924 0.3330 -0.5778 -0.2259355 MSFT Short-Inefficiency q90 1080 -0.3397 0.5903 -0.5755 -0.3918952 META Short-Inefficiency q90 1080 -0.3400 0.2623 -1.2966 -0.3922728 LLY Short-Inefficiency q90 1080 -0.3402 0.3520 -0.9667 -0.3924872 AVGO Short-Inefficiency q90 1080 -0.5415 0.5884 -0.9204 -0.6072740 NVDA Short-Inefficiency q90 1080 - q90 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.6167 0.6019 1.0246 0.7783733 NVDA Short-Efficiency-Long-Inefficiency q90 1080 0.4259 0.2624 1.6234 0.5299141 LLY Short-Efficiency-Long-Inefficiency q90 1080 0.3143 0.3526 0.8915 0.3875961 AVGO Short-Efficiency-Long-Inefficiency q90 1080 0.1062 0.3330 0.3188 0.1285384 MSFT Short-Efficiency-Long-Inefficiency q90 1080 0.0921 0.2752 0.3348 0.1113945 JPM Short-Efficiency-Long-Inefficiency q90 1080 0.0738 0.3220 0.2290 0.0890193 AAPL Short-Efficiency-Long-Inefficiency q90 1080 0.0627 0.5903 0.1063 0.0756440 META Short-Efficiency-Long-Inefficiency q90 1080 0.0549 0.2544 0.2157 0.0661278 V Short-Efficiency-Long-Inefficiency q90 1080 0.0412 0.2705 0.1525 0.0496242 MA Short-Efficiency-Long-Inefficiency q90 1080 0.0348 0.3236 0.1076 0.0418727 XOM Short-Efficiency-Long-Inefficiency q90 1080 0.0196 0.2865 0.0686 0.0235886 HD Short-Efficiency-Long-Inefficiency q90 1080 -0.0268 0.1979 -0.1352 -0.0319750 PG Short-Efficiency-Long-Inefficiency q90 1080 -0.0398 0.1640 -0.2429 -0.0475625 JNJ Short-Efficiency-Long-Inefficiency q90 1080 -0.1029 0.2405 -0.4278 -0.1219684 UNH Short-Efficiency-Long-Inefficiency q90 1080 -0.1050 0.3061 -0.3431 -0.1245005 CVX Short-Efficiency-Long-Inefficiency q90 1080 -0.1219 0.3790 -0.3216 -0.1442406 GOOG Short-Efficiency-Long-Inefficiency q90 1080 -0.1264 0.3766 -0.3356 -0.1495196 GOOGL Short-Efficiency-Long-Inefficiency q90 1080 -0.2294 0.4594 -0.4994 -0.2682293 AMZN Short-Efficiency-Long-Inefficiency q90 1080 -0.3589 0.6432 -0.5580 -0.4130400 TSLA Short-Efficiency-Long-Inefficiency q90 1080 - q90 : Short-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0499 0.1279 0.3901 0.0600945 NVDA Short-Efficiency q90 1080 0.0119 0.0130 0.9124 0.0142546 HD Short-Efficiency q90 1080 0.0104 0.0114 0.9125 0.0125295 JNJ Short-Efficiency q90 1080 0.0084 0.0092 0.9127 0.0101218 LLY Short-Efficiency q90 1080 0.0080 0.0087 0.9128 0.0095683 PG Short-Efficiency q90 1080 0.0024 0.0026 0.9133 0.0028547 MA Short-Efficiency q90 1080 0.0012 0.0013 0.9134 0.0013844 UNH Short-Efficiency q90 1080 0.0011 0.0012 0.9134 0.0013318 AAPL Short-Efficiency q90 1080 -0.0015 0.0016 -0.9136 -0.0017843 V Short-Efficiency q90 1080 -0.0021 0.0022 -0.9137 -0.0024624 MSFT Short-Efficiency q90 1080 -0.0023 0.0026 -0.9137 -0.0028032 META Short-Efficiency q90 1080 -0.0046 0.0051 -0.9139 -0.0055483 GOOG Short-Efficiency q90 1080 -0.0059 0.0065 -0.9140 -0.0070840 AMZN Short-Efficiency q90 1080 -0.0062 0.0068 -0.9140 -0.0074408 GOOGL Short-Efficiency q90 1080 -0.0111 0.0122 -0.9145 -0.0133151 CVX Short-Efficiency q90 1080 -0.0117 0.1204 -0.0970 -0.0139891 JPM Short-Efficiency q90 1080 -0.0162 0.0177 -0.9150 -0.0193944 TSLA Short-Efficiency q90 1080 -0.0182 0.0199 -0.9151 -0.0218048 AVGO Short-Efficiency q90 1080 -0.0580 0.0826 -0.7025 -0.0690956 XOM Short-Efficiency q90 1080 Significance q95
- q90 : Short-Efficiency
- q90 : Short-Efficiency-Long-Inefficiency
- q90 : Short-Inefficiency
- q95 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0681 0.4594 0.1483 0.0821963 AMZN Short-Inefficiency-Long-Efficiency q95 1080 0.0522 0.2405 0.2169 0.0628351 UNH Short-Inefficiency-Long-Efficiency q95 1080 0.0314 0.6432 0.0488 0.0376914 TSLA Short-Inefficiency-Long-Efficiency q95 1080 0.0176 0.3061 0.0576 0.0211582 CVX Short-Inefficiency-Long-Efficiency q95 1080 0.0139 0.1640 0.0849 0.0167154 JNJ Short-Inefficiency-Long-Efficiency q95 1080 -0.0064 0.3766 -0.0170 -0.0076660 GOOGL Short-Inefficiency-Long-Efficiency q95 1080 -0.0077 0.3237 -0.0237 -0.0091958 XOM Short-Inefficiency-Long-Efficiency q95 1080 -0.0119 0.1979 -0.0600 -0.0142241 PG Short-Inefficiency-Long-Efficiency q95 1080 -0.0133 0.3790 -0.0351 -0.0159037 GOOG Short-Inefficiency-Long-Efficiency q95 1080 -0.0964 0.2865 -0.3364 -0.1143985 HD Short-Inefficiency-Long-Efficiency q95 1080 -0.1072 0.2705 -0.3964 -0.1270931 MA Short-Inefficiency-Long-Efficiency q95 1080 -0.1113 0.2544 -0.4375 -0.1318714 V Short-Inefficiency-Long-Efficiency q95 1080 -0.1649 0.2751 -0.5993 -0.1942054 JPM Short-Inefficiency-Long-Efficiency q95 1080 -0.1907 0.3330 -0.5728 -0.2240294 MSFT Short-Inefficiency-Long-Efficiency q95 1080 -0.3283 0.3526 -0.9309 -0.3792406 AVGO Short-Inefficiency-Long-Efficiency q95 1080 -0.3382 0.5903 -0.5729 -0.3901906 META Short-Inefficiency-Long-Efficiency q95 1080 -0.3456 0.2624 -1.3173 -0.3984241 LLY Short-Inefficiency-Long-Efficiency q95 1080 -0.3599 0.3212 -1.1207 -0.4141658 AAPL Short-Inefficiency-Long-Efficiency q95 1080 -0.5415 0.6022 -0.8992 -0.6071817 NVDA Short-Inefficiency-Long-Efficiency q95 1080 - q95 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0544 0.4570 0.1190 0.0655122 AMZN Short-Inefficiency q95 1080 0.0534 0.2404 0.2220 0.0643086 UNH Short-Inefficiency q95 1080 0.0247 0.1636 0.1507 0.0296160 JNJ Short-Inefficiency q95 1080 0.0150 0.6429 0.0233 0.0179489 TSLA Short-Inefficiency q95 1080 0.0065 0.3058 0.0211 0.0077400 CVX Short-Inefficiency q95 1080 -0.0039 0.1977 -0.0198 -0.0047007 PG Short-Inefficiency q95 1080 -0.0125 0.3766 -0.0333 -0.0149953 GOOGL Short-Inefficiency q95 1080 -0.0178 0.3790 -0.0471 -0.0213336 GOOG Short-Inefficiency q95 1080 -0.0855 0.2863 -0.2987 -0.1015921 HD Short-Inefficiency q95 1080 -0.1051 0.2705 -0.3885 -0.1245940 MA Short-Inefficiency q95 1080 -0.1126 0.2544 -0.4427 -0.1334176 V Short-Inefficiency q95 1080 -0.1170 0.3073 -0.3807 -0.1385329 XOM Short-Inefficiency q95 1080 -0.1529 0.2337 -0.6544 -0.1803367 JPM Short-Inefficiency q95 1080 -0.1924 0.3330 -0.5778 -0.2259355 MSFT Short-Inefficiency q95 1080 -0.2641 0.3132 -0.8432 -0.3074980 AAPL Short-Inefficiency q95 1080 -0.3397 0.5903 -0.5755 -0.3918952 META Short-Inefficiency q95 1080 -0.3400 0.2623 -1.2966 -0.3922728 LLY Short-Inefficiency q95 1080 -0.3402 0.3520 -0.9667 -0.3924872 AVGO Short-Inefficiency q95 1080 -0.5232 0.5771 -0.9066 -0.5883408 NVDA Short-Inefficiency q95 1080 - q95 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.5146 0.6022 0.8545 0.6446021 NVDA Short-Efficiency-Long-Inefficiency q95 1080 0.4259 0.2624 1.6234 0.5299141 LLY Short-Efficiency-Long-Inefficiency q95 1080 0.4087 0.3212 1.2725 0.5077996 AAPL Short-Efficiency-Long-Inefficiency q95 1080 0.3143 0.3526 0.8915 0.3875961 AVGO Short-Efficiency-Long-Inefficiency q95 1080 0.1103 0.2751 0.4008 0.1335528 JPM Short-Efficiency-Long-Inefficiency q95 1080 0.1062 0.3330 0.3188 0.1285384 MSFT Short-Efficiency-Long-Inefficiency q95 1080 0.0627 0.5903 0.1063 0.0756440 META Short-Efficiency-Long-Inefficiency q95 1080 0.0549 0.2544 0.2157 0.0661278 V Short-Efficiency-Long-Inefficiency q95 1080 0.0412 0.2705 0.1525 0.0496242 MA Short-Efficiency-Long-Inefficiency q95 1080 0.0196 0.2865 0.0686 0.0235886 HD Short-Efficiency-Long-Inefficiency q95 1080 -0.0268 0.1979 -0.1352 -0.0319750 PG Short-Efficiency-Long-Inefficiency q95 1080 -0.0398 0.1640 -0.2429 -0.0475625 JNJ Short-Efficiency-Long-Inefficiency q95 1080 -0.0923 0.3237 -0.2850 -0.1095254 XOM Short-Efficiency-Long-Inefficiency q95 1080 -0.1029 0.2405 -0.4278 -0.1219684 UNH Short-Efficiency-Long-Inefficiency q95 1080 -0.1050 0.3061 -0.3431 -0.1245005 CVX Short-Efficiency-Long-Inefficiency q95 1080 -0.1219 0.3790 -0.3216 -0.1442406 GOOG Short-Efficiency-Long-Inefficiency q95 1080 -0.1264 0.3766 -0.3356 -0.1495196 GOOGL Short-Efficiency-Long-Inefficiency q95 1080 -0.2419 0.4594 -0.5265 -0.2823825 AMZN Short-Efficiency-Long-Inefficiency q95 1080 -0.3589 0.6432 -0.5580 -0.4130400 TSLA Short-Efficiency-Long-Inefficiency q95 1080 - q95 : Short-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.1436 0.0733 1.9589 0.1744067 AAPL Short-Efficiency q95 1080 0.0119 0.0130 0.9124 0.0142546 HD Short-Efficiency q95 1080 0.0104 0.0114 0.9125 0.0125295 JNJ Short-Efficiency q95 1080 0.0095 0.1724 0.0548 0.0113383 NVDA Short-Efficiency q95 1080 0.0084 0.0092 0.9127 0.0101218 LLY Short-Efficiency q95 1080 0.0080 0.0087 0.9128 0.0095683 PG Short-Efficiency q95 1080 0.0024 0.0026 0.9133 0.0028547 MA Short-Efficiency q95 1080 0.0012 0.0013 0.9134 0.0013844 UNH Short-Efficiency q95 1080 -0.0015 0.0016 -0.9136 -0.0017843 V Short-Efficiency q95 1080 -0.0021 0.0022 -0.9137 -0.0024624 MSFT Short-Efficiency q95 1080 -0.0023 0.0026 -0.9137 -0.0028032 META Short-Efficiency q95 1080 -0.0046 0.0051 -0.9139 -0.0055483 GOOG Short-Efficiency q95 1080 -0.0062 0.0068 -0.9140 -0.0074408 GOOGL Short-Efficiency q95 1080 -0.0068 0.1453 -0.0467 -0.0081266 JPM Short-Efficiency q95 1080 -0.0111 0.0122 -0.9145 -0.0133151 CVX Short-Efficiency q95 1080 -0.0150 0.0469 -0.3210 -0.0179979 AMZN Short-Efficiency q95 1080 -0.0162 0.0177 -0.9150 -0.0193944 TSLA Short-Efficiency q95 1080 -0.0182 0.0199 -0.9151 -0.0218048 AVGO Short-Efficiency q95 1080 -0.1193 0.1012 -1.1787 -0.1411669 XOM Short-Efficiency q95 1080 Significance q99
- q95 : Short-Efficiency
- q95 : Short-Efficiency-Long-Inefficiency
- q95 : Short-Inefficiency
- q99 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.5058 0.4583 1.1035 0.6331692 AMZN Short-Inefficiency-Long-Efficiency q99 1080 0.0522 0.2405 0.2169 0.0628351 UNH Short-Inefficiency-Long-Efficiency q99 1080 0.0314 0.6432 0.0488 0.0376914 TSLA Short-Inefficiency-Long-Efficiency q99 1080 0.0176 0.3061 0.0576 0.0211582 CVX Short-Inefficiency-Long-Efficiency q99 1080 0.0139 0.1640 0.0849 0.0167154 JNJ Short-Inefficiency-Long-Efficiency q99 1080 -0.0064 0.3766 -0.0170 -0.0076660 GOOGL Short-Inefficiency-Long-Efficiency q99 1080 -0.0119 0.1979 -0.0600 -0.0142241 PG Short-Inefficiency-Long-Efficiency q99 1080 -0.0133 0.3790 -0.0351 -0.0159037 GOOG Short-Inefficiency-Long-Efficiency q99 1080 -0.0964 0.2865 -0.3364 -0.1143985 HD Short-Inefficiency-Long-Efficiency q99 1080 -0.1072 0.2705 -0.3964 -0.1270931 MA Short-Inefficiency-Long-Efficiency q99 1080 -0.1113 0.2544 -0.4375 -0.1318714 V Short-Inefficiency-Long-Efficiency q99 1080 -0.1907 0.3330 -0.5728 -0.2240294 MSFT Short-Inefficiency-Long-Efficiency q99 1080 -0.2323 0.3234 -0.7183 -0.2715176 XOM Short-Inefficiency-Long-Efficiency q99 1080 -0.2472 0.6033 -0.4098 -0.2884721 NVDA Short-Inefficiency-Long-Efficiency q99 1080 -0.3283 0.3526 -0.9309 -0.3792406 AVGO Short-Inefficiency-Long-Efficiency q99 1080 -0.3371 0.5903 -0.5710 -0.3889750 META Short-Inefficiency-Long-Efficiency q99 1080 -0.3413 0.2742 -1.2445 -0.3936281 JPM Short-Inefficiency-Long-Efficiency q99 1080 -0.3456 0.2624 -1.3173 -0.3984241 LLY Short-Inefficiency-Long-Efficiency q99 1080 -0.4046 0.3208 -1.2612 -0.4627832 AAPL Short-Inefficiency-Long-Efficiency q99 1080 - q99 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.2581 0.4456 0.5792 0.3167495 AMZN Short-Inefficiency q99 1080 0.0534 0.2404 0.2220 0.0643086 UNH Short-Inefficiency q99 1080 0.0247 0.1636 0.1507 0.0296160 JNJ Short-Inefficiency q99 1080 0.0150 0.6429 0.0233 0.0179489 TSLA Short-Inefficiency q99 1080 0.0065 0.3058 0.0211 0.0077400 CVX Short-Inefficiency q99 1080 -0.0039 0.1977 -0.0198 -0.0047007 PG Short-Inefficiency q99 1080 -0.0125 0.3766 -0.0333 -0.0149953 GOOGL Short-Inefficiency q99 1080 -0.0178 0.3790 -0.0471 -0.0213336 GOOG Short-Inefficiency q99 1080 -0.0855 0.2863 -0.2987 -0.1015921 HD Short-Inefficiency q99 1080 -0.1051 0.2705 -0.3885 -0.1245940 MA Short-Inefficiency q99 1080 -0.1126 0.2544 -0.4427 -0.1334176 V Short-Inefficiency q99 1080 -0.1924 0.3330 -0.5778 -0.2259355 MSFT Short-Inefficiency q99 1080 -0.2082 0.2358 -0.8828 -0.2440361 XOM Short-Inefficiency q99 1080 -0.2419 0.1980 -1.2218 -0.2824715 JPM Short-Inefficiency q99 1080 -0.2762 0.2425 -1.1388 -0.3211491 AAPL Short-Inefficiency q99 1080 -0.3391 0.5903 -0.5746 -0.3912891 META Short-Inefficiency q99 1080 -0.3400 0.2623 -1.2966 -0.3922728 LLY Short-Inefficiency q99 1080 -0.3402 0.3520 -0.9667 -0.3924872 AVGO Short-Inefficiency q99 1080 -0.3780 0.5460 -0.6924 -0.4339417 NVDA Short-Inefficiency q99 1080 - q99 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.5143 0.3208 1.6032 0.6442534 AAPL Short-Efficiency-Long-Inefficiency q99 1080 0.4259 0.2624 1.6234 0.5299141 LLY Short-Efficiency-Long-Inefficiency q99 1080 0.4076 0.2742 1.4862 0.5063539 JPM Short-Efficiency-Long-Inefficiency q99 1080 0.3143 0.3526 0.8915 0.3875961 AVGO Short-Efficiency-Long-Inefficiency q99 1080 0.1733 0.3234 0.5359 0.2111287 XOM Short-Efficiency-Long-Inefficiency q99 1080 0.1062 0.3330 0.3188 0.1285384 MSFT Short-Efficiency-Long-Inefficiency q99 1080 0.0610 0.5903 0.1033 0.0735041 META Short-Efficiency-Long-Inefficiency q99 1080 0.0549 0.2544 0.2157 0.0661278 V Short-Efficiency-Long-Inefficiency q99 1080 0.0412 0.2705 0.1525 0.0496242 MA Short-Efficiency-Long-Inefficiency q99 1080 0.0196 0.2865 0.0686 0.0235886 HD Short-Efficiency-Long-Inefficiency q99 1080 -0.0268 0.1979 -0.1352 -0.0319750 PG Short-Efficiency-Long-Inefficiency q99 1080 -0.0398 0.1640 -0.2429 -0.0475625 JNJ Short-Efficiency-Long-Inefficiency q99 1080 -0.0774 0.6033 -0.1283 -0.0920528 NVDA Short-Efficiency-Long-Inefficiency q99 1080 -0.1029 0.2405 -0.4278 -0.1219684 UNH Short-Efficiency-Long-Inefficiency q99 1080 -0.1050 0.3061 -0.3431 -0.1245005 CVX Short-Efficiency-Long-Inefficiency q99 1080 -0.1219 0.3790 -0.3216 -0.1442406 GOOG Short-Efficiency-Long-Inefficiency q99 1080 -0.1264 0.3766 -0.3356 -0.1495196 GOOGL Short-Efficiency-Long-Inefficiency q99 1080 -0.3589 0.6432 -0.5580 -0.4130400 TSLA Short-Efficiency-Long-Inefficiency q99 1080 -0.4622 0.4583 -1.0084 -0.5244810 AMZN Short-Efficiency-Long-Inefficiency q99 1080 - q99 : Short-Efficiency
[1] “”Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.1627 0.2109 0.7714 0.1980230 AAPL Short-Efficiency q99 1080 0.1099 0.1904 0.5771 0.1330591 JPM Short-Efficiency q99 1080 0.0119 0.0130 0.9124 0.0142546 HD Short-Efficiency q99 1080 0.0104 0.0114 0.9125 0.0125295 JNJ Short-Efficiency q99 1080 0.0084 0.0092 0.9127 0.0101218 LLY Short-Efficiency q99 1080 0.0080 0.0087 0.9128 0.0095683 PG Short-Efficiency q99 1080 0.0024 0.0026 0.9133 0.0028547 MA Short-Efficiency q99 1080 0.0012 0.0013 0.9134 0.0013844 UNH Short-Efficiency q99 1080 -0.0015 0.0016 -0.9136 -0.0017843 V Short-Efficiency q99 1080 -0.0021 0.0022 -0.9137 -0.0024624 MSFT Short-Efficiency q99 1080 -0.0032 0.0027 -1.1673 -0.0037962 META Short-Efficiency q99 1080 -0.0046 0.0051 -0.9139 -0.0055483 GOOG Short-Efficiency q99 1080 -0.0062 0.0068 -0.9140 -0.0074408 GOOGL Short-Efficiency q99 1080 -0.0111 0.0122 -0.9145 -0.0133151 CVX Short-Efficiency q99 1080 -0.0162 0.0177 -0.9150 -0.0193944 TSLA Short-Efficiency q99 1080 -0.0178 0.2213 -0.0805 -0.0213072 XOM Short-Efficiency q99 1080 -0.0182 0.0199 -0.9151 -0.0218048 AVGO Short-Efficiency q99 1080 -0.1745 0.1096 -1.5928 -0.2053650 AMZN Short-Efficiency q99 1080 -0.2261 0.2556 -0.8848 -0.2645162 NVDA Short-Efficiency q99 1080
- q99 : Short-Efficiency
- q99 : Short-Efficiency-Long-Inefficiency
- q99 : Short-Inefficiency